Publication
Title
New Belgian stock market returns, 1832-1914
Author
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.
Language
English
Source (journal)
Explorations in economic history. - Kent, Ohio, 1969, currens
Publication
Kent, Ohio : 2012
ISSN
0014-4983
1090-2457 [online]
Volume/pages
49:2(2012), p. 189-204
ISI
000303423900005
Full text (Publishers DOI)
Full text (publishers 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 29.03.2012
Last edited 27.05.2017
To cite this reference