The answer, Prescott, AZ. On July 4, 1888 Prescott hosted The Frontier Cowboy's Festival. The Rodeo has continued every day since then.
It all started in 1866, a group of Prescott businessmen came up with a July Fourth "cowboy contest" that would feature the best riders from area ranches and farms competing for a small cash prize at Whiskey Row bars. Now the event draws thousands of people.
Check out http://worldsoldestrodeo.com/ for more info.

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