Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873-1914)

Jan Annaert, Lord Mensah

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)22-43
Number of pages22
JournalExplorations in Economic History
Volume52
Issue number1
DOIs
Publication statusPublished - 2014
Externally publishedYes

Keywords

  • Brussels stock exchange
  • CAPM
  • Dividend yield
  • Momentum
  • Size effect
  • Total risk

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