Publication
Title
Long run stock returns : evidence from Belgium, 1838-2010
Author
Abstract
We investigate monthly returns of Belgian stocks listed on the Brussels stock exchange in the period 18382010. Our dataset is based on official quotation lists of the stock exchange, and it takes into account all common stocks that were ever listed on the stock exchange during the period considered. This allows us to investigate the performance of the market as a whole in a consistent way over the nineteenth and twentieth centuries. We find that stock returns strongly depend on dividend income. While real capital appreciation tends to be negative, the dividend yield is remarkably stable over time. Stocks were less risky in the nineteenth century than in the twentieth century. While the equity premium is overall positive, the reward for equity risk is very volatile over time. Even in the long-run equity investors frequently earned a negative return. There are no consistent differences between returns on small stocks and large stocks.
Language
English
Source (journal)
Cliometrica
Publication
2015
ISSN
1863-2505
Volume/pages
9:1(2015), p. 77-95
ISI
000347147700004
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 14.03.2014
Last edited 13.09.2017
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