Title
New Belgian stock market returns, 1832-1914
Author
Faculty/Department
Faculty of Applied Economics
Institute of Development Policy and Management
Publication type
article
Publication
Kent, Ohio ,
Subject
Sociology
Economics
Source (journal)
Explorations in economic history. - Kent, Ohio, 1969, currens
Volume/pages
49(2012) :2 , p. 189-204
ISSN
0014-4983
1090-2457
ISI
000303423900005
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
The limited availability of high quality and computer readable data seriously impedes research in history and finance.Weintroduce a newmonthly return series for Belgianowned equity based on Brussels StockMarket data for the period 18321914 as an improvement to the popular Drappier index. Over this period, our dataset includes 446,374 prices, 23,976 dividends, 371 stock and reverse splits (or other capital operations) on 2037 stocks of 1387 (foreign and Belgian) companies. Our dataset includes all shares and bonds but also high-quality information on prices, dividends, shares outstanding and market capitalization. In addition, company, country and sector information is available. We construct value weighted, price weighted and equally weighted indices as well as dividend yields. We find three important results. First, total nominal returns hover between 3.29% and 5.35% per annum, depending on how individual stocks are aggregated into the index. Second, dividend income constitutes the major part of total return and dividend distributions have a clear seasonal pattern. Third, the results highlight several drawbacks of the Drappier indices, especially an upward bias in expected equity performance.
E-info
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