Title
Cross-sectional predictability of stock returns : evidence from the 19th century Brussels Stock Exchange (1873-1914) Cross-sectional predictability of stock returns : evidence from the 19th century Brussels Stock Exchange (1873-1914)
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Kent, Ohio ,
Subject
Sociology
Economics
History
Source (journal)
Explorations in economic history. - Kent, Ohio, 1969, currens
Volume/pages
52(2014) , p. 22-43
ISSN
0014-4983
1090-2457
ISI
000336111300002
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama MacBeth regressions, we find no relationship between market beta, size or total risk and average returns. Momentum is strongly present in the entire data set as well as in subsamples based on size. We also find evidence for a weak value effect as measured by dividend yield. The flat relation between market beta and average return may be due to leverage-constrained investors. © 2013 Elsevier Inc. All rights reserved.
E-info
https://repository.uantwerpen.be/docman/iruaauth/a1648d/8d42b6420ef.pdf
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