The NYSE History Research Project is an on-going research effort by
the International Center of Finance to collect price and dividend information
on NYSE stocks from the beginning of the exchange to the present, for
analysis of long-term trends and performance. The paper
A new historical database for the NYSE 1815 to 1925: Performance and predictability,"
can be downloaded from the site of the Journal of Financial Markets.
A working
paper version of it is also from SSRN. The data and the indices
we created with it may be downloaded from
this site.
Abstract:
In this paper, we collect individual stock prices for NYSE stocks over
the period 1815
to 1925 and individual dividend data over the period 1825 to 1870. We
use monthly price and dividend information on more than 600 individual
securities over the period to estimate a stock price index and total
return series that extends virtually to the beginning of the New York
Stock Exchange. We use this data to estimate the power of past returns
and dividend yields to forecast future long-horizon returns. We find
some evidence of predictability in sub-periods but little predictability
over the long term. We estimate the time-varying volatility of the U.S.
market over the period 1815 to 1925 and find evidence of a leverage
effect on risk. This new database will allow future researchers to test
a broad range of hypotheses about the U.S. capital markets in a rich,
untouched sample.
William N. Goetzmann, Roger G. Ibbotson, and Liang Peng
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