In 1850, Cauldwell bought out Elbridge G. Paige's one-third ownership stake in the Sunday Mercury for $1,200. Cauldwell expanded the paper and increased its coverage of literature, city news, and sports. Sylvester Southworth and Horace P. Whitney (1834- August 24, 1884) soon joined Cauldwell, and the paper prospered.

Cauldwell and the Mercury are credited as being the first newspaper to regularly cover the sport of baseball as news, starting in 1853 with a report on a game between the Knickerbockers and the Gothams. The paper was the first to use the phrase "national pastime", in December 1856. In 1858, Cauldwell hired rising star Henrick Chadwick, later dubbed the "father of baseball", to cover the sport for the paper. Chadwick is more famous today, but Cauldwell was arguably the first major booster of baseball.

By 1876, Cauldwell had full ownership of the Mercury. In the early 1890s, however, the paper embarked an ill-fated plan to start up a daily edition. Losing money rapidly, Cauldwell apparently began to borrow funds from the estate of millionaire Jason Rogers, of which he was a co-trustee with his son-in-law Thomas Rogers, to try to keep the paper afloat. Some sources reported that it was Jason Rogers' and Cauldwell's mutual grandson (also named Jason Rogers) who convinced Cauldwell to expand the paper in the first place. In August 1894, Cauldwell gave up editorial control of the paper, with Jason Rogers stepping in as publisher and James F. Graham taking on the editorial duties. The paper continued to lose money (reportedly about $2000 a week), and in March 1895 Cauldwell sold the paper to William Noble in a somewhat unusual exchange, where he received a hotel called the Hotel Empire in exchange for the paper.

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