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

Listed author(s):
  • Annaert, Jan
  • Mensah, Lord
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S001449831300048X
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    Article provided by Elsevier in its journal Explorations in Economic History.

    Volume (Year): 52 (2014)
    Issue (Month): C ()
    Pages: 22-43

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    Handle: RePEc:eee:exehis:v:52:y:2014:i:c:p:22-43
    DOI: 10.1016/j.eeh.2013.10.002
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622830

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