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Common stock returns in the pre-WWI Berlin Stock Exchange


  • Caroline Fohlin

    () (Johns Hopkins University, Baltimore, MD, USA.)

  • Steffen Reinhold

    (MEA, University of Mannheim, Mannheim, Germany.)


We provide new evidence on the efficiency of the Berlin Stock Exchange prior to World War I, when it ranked among the top few markets worldwide by market capitalization. Using a new set of monthly stock price data for a random sample of German companies between 1904 and 1910, we estimate a typical three-factor model and find that returns relate positively to risk (beta), but that book-to-market ratios enter as well (negatively). Firm size and earnings/price ratio relate positively but weakly to returns. The results indicate that the Berlin market did not suffer from unusually large pricing anomalies; thus, its performance was not substantially different from modern markets. Also supporting the conclusion of market efficiency, a momentum portfolio earns returns not different from zero, on average.

Suggested Citation

  • Caroline Fohlin & Steffen Reinhold, 2010. "Common stock returns in the pre-WWI Berlin Stock Exchange," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 4(1), pages 75-96, January.
  • Handle: RePEc:afc:cliome:v:4:y:2010:i:1:p:75-96
    DOI: 10.1007/s11698-009-0037-0

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    Cited by:

    1. Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 114-123.
    2. repec:spr:cliomt:v:11:y:2017:i:3:d:10.1007_s11698-016-0146-5 is not listed on IDEAS

    More about this item


    Stock market anomalies; Book-to-market; Value effect; Size effect;

    JEL classification:

    • N2 - Economic History - - Financial Markets and Institutions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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