Jan

19

I was reading Goetzman et al paper "A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability" where they try to gather historical data for the NYSE stocks for the period before CRSP started (1815-1925). There are many questions regarding their data quality and especially the dividends (there is no good source for dividends before 1880 when Cowles data starts) that I will not get into. Nevertheless, one graph/observation that stood out was the distribution of stock prices. There is a clustering around 100 (stocks used to trade at par) and a smaller clustering around 10. Apart from the round numbers, one is reminded also of Benford's Law.


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