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Long-run stock returns: evidence from Belgium 1838–2010


  • Jan Annaert

    (Antwerp Management School, Antwerp, Belgium & University of Antwerp, Antwerp, Belgium)

  • Frans Buelens

    (University of Antwerp, Antwerp, Belgium)

  • Marc Deloof

    () (Antwerp Management School, Antwerp, Belgium & University of Antwerp, Antwerp, Belgium & Department of Accounting and Finance, University of Antwerp, Prinsstraat 13, 2000, Antwerp, Belgium)


We investigate monthly returns of Belgian stocks listed on the Brussels stock exchange in the period 1838–2010. Our dataset is based on official quotation lists of the stock exchange, and it takes into account all common stocks that were ever listed on the stock exchange during the period considered. This allows us to investigate the performance of the market as a whole in a consistent way over the nineteenth and twentieth centuries. We find that stock returns strongly depend on dividend income. While real capital appreciation tends to be negative, the dividend yield is remarkably stable over time. Stocks were less risky in the nineteenth century than in the twentieth century. While the equity premium is overall positive, the reward for equity risk is very volatile over time. Even in the long-run equity investors frequently earned a negative return. There are no consistent differences between returns on small stocks and large stocks.

Suggested Citation

  • Jan Annaert & Frans Buelens & Marc Deloof, 2015. "Long-run stock returns: evidence from Belgium 1838–2010," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 9(1), pages 77-95, January.
  • Handle: RePEc:afc:cliome:v:9:y:2015:i:1:p:77-95

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    Cited by:

    1. Goetzmann, Will & Le Bris, David & Pouget, Sébastien, 2017. "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers 17-794, Toulouse School of Economics (TSE).

    More about this item


    Long-run stock returns; Equity premium; Size effect; Nineteenth and twentieth centuries Brussels stock exchange;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-


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