What folks end up with is about 13 banks and because of survivorship bias you miss all the wooden turnpike companies.
The scholarship standard is the Cowles Commission's Common Stock Indexes 1871-1937 now kept at Yale under the watchful eye of Doc Shiller.*
From the Social Science Research Network:
Christopher Geczy
University of Pennsylvania - The Wharton School, Finance Department
Mikhail Samonov
Forefront Analytics
May 18, 2015
Abstract:
Extending price return momentum tests to the longest
available histories of global financial asset returns, including
country-specific sectors and stocks, fixed income, currencies, and
commodities, as well as U.S. stocks, we create a 215-year history of
multi-asset momentum, and we confirm the significance of the momentum
premium inside and across asset classes. Consistent with stock-level
results, we document a large variation of momentum portfolio betas,
conditional on the direction and duration of the return of the asset
class in which the momentum portfolio is built. A significant recent
rise in pair-wise momentum portfolio correlations suggests features of
the data important for empiricists, theoreticians and practitioners
alike.
Number of Pages in PDF File: 84
Keywords: Price Momentum, Early Security Prices, Market States, Price Reversal
Download
*Here's his Yale homepage.
And Irrational Exuberance.
Here's Common Stock Indexes...
....My favorite tidbit is the listing, among the pre-1871 industrials, of New York Guano.Here's "New York Guano".
Some things never change.
Here’s Yale’s (and my) gift:
http://cowles.econ.yale.edu/P/cm/m03/index.htm
It links to a big ‘ol hog of a PDF.
In addition to Shiller several other Cowles associates have won Nobel prizes for research done while at the Cowles Commission.
These include Tjalling Koopmans, Kenneth Arrow, Gerard Debreu, James Tobin, Franco Modigliani, Herbert Simon, Lawrence Klein, Trygve Haavelmo and Harry Markowitz". -Marginal Revolution
