Goetzmann, William N.; Ibbotson, Roger G.; Peng, Liang - School of Management, Yale University - 2000
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...