Overview
New York Stock Exchange
Old NYSE Project
1815-1925
The New York Stock Exchange ( 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. The data and the indices we created with it may be downloaded from this site. In this paper, William N. Goetzmann, Roger G. Ibbotson, and Liang Peng collect individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. They 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.use this data to estimate the power of past returns and dividend yields to forecast future long-horizon returns. William N. Goetzmann, Roger G. Ibbotson, and Liang Peng find some evidence of predictability in sub-periods but little predictability over the long term. They 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