A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability

In this research project, Professors Roger Ibbotson, William Goetzmann, and Liang Peng collected individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. They used 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. They used this data to estimate the power of past returns and dividend yields to forecast future long-horizon returns. They found some evidence of predictability in sub-periods but little predictability over the long term. They estimated the time-varying volatility of the U.S. market over the period 1815 to 1925 and found 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.