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

By Will Goetzmann, Roger G. Ibbotson, Liang Peng. 2000

175 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/37b2a702010dafce3f2ea26f733ba91bd34b7982

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Marcelo C. Medeiros
2. Álvaro Veiga

In Economics and Econometrics

1. Marcelo C. Medeiros
2. Michael Mcaleer
3. Álvaro Veiga
4. S. Ling
5. Bernardo da Veiga
6. Christian Francq
7. Felix Chan
8. Jean-Michel Zakoian

In Finance

1. Marcelo C. Medeiros
2. Michael Mcaleer
3. Álvaro Veiga
4. S. Ling
5. Bernardo da Veiga
6. Christian Francq
7. Jean-Michel Zakoian
8. Felix Chan

Citations in the corpus

• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009, background): “Goetzmann, Ibbotson, and Peng (2001) found evidence of asymmetric sign effects in volatility as far back as 1857 for the NYSE.”
• Four Centuries of Return Predictability (2014, unknown): “Most closely related are Goetzmann, Ibbotson, and Peng (2001), Chen (2009), and Rangvid, Schmeling, and Schrimpf (2014).”
• Art and Money (2011, unknown): “When also controlling for GBP-denominated U.S. equity capital returns, using NYSE data from Goetzmann et al. (2001) for the pre-1925 period and from CRSP for the period after, the coefficient on ∆ Inequality US is of the same order of magnitude (not reported), with p- 20 values around 0.10.”
• The Worldwide Equity Premium: A Smaller Puzzle (2006, unknown): “Earlier sources are described in Goetzmann, Ibbotson, and Peng (2001).”
• The risk return tradeoff in the long run: 1836–2003 (2007, unknown): “Using the nearly two century history of the U.S. equity market experience (see Schwert (1990) and Goetzmann, Ibbotson, and Peng (2001)), I shed new light on the mean variance tradeoff.”
• A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008, background): “Goetzmann, Ibbotson, and Peng (2001) found evidence of asymmetric sign effects involatility as far back as 1857 for the NYSE.”
• Investor Psychology and Asset Pricing (2001, unknown): “In summary, di erent experimental settings can lead to under- or over-reliance on new signals; people seem to make judgments di erently in di erent situations (see Grether (1992), Payne, Bettman, and Johnson (1992)).”