Publication
Title
Cross-sectional predictability of stock returns : evidence from the 19th century Brussels Stock Exchange (1873-1914)
Author
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.
Language
English
Source (journal)
Explorations in economic history. - Kent, Ohio, 1969, currens
Publication
Kent, Ohio : 2014
ISSN
0014-4983
1090-2457 [online]
Volume/pages
52(2014), p. 22-43
ISI
000336111300002
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 14.04.2014
Last edited 19.10.2017
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