Title
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New Belgian stock market returns, 1832-1914
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Author
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Abstract
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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. |
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Language
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English
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Source (journal)
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Explorations in economic history. - Kent, Ohio, 1969, currens
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Publication
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Kent, Ohio
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2012
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ISSN
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0014-4983
1090-2457
[online]
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DOI
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10.1016/J.EEH.2011.11.004
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Volume/pages
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49
:2
(2012)
, p. 189-204
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ISI
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000303423900005
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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