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Stock Return Predictability before the First World War

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  • Rebecca Stuart

Abstract

This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal dummies generally have predictive power, and in almost all of series studied there is a statistically significant autoregressive component. These relationships appear to be stable over the sample period. Testing returns from multiple indices for the same market indicates that the compilation of the index does not systematically affect its predictability. Finally, the results are robust to the exclusion of extreme observations.

Suggested Citation

  • Rebecca Stuart, 2022. "Stock Return Predictability before the First World War," IRENE Working Papers 22-02, IRENE Institute of Economic Research.
    • Handle: RePEc:irn:wpaper:22-02
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    References listed on IDEAS

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    More about this item

    Keywords

    stock returns; interest rates; Gold Standard;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • N2 - Economic History - - Financial Markets and Institutions

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    This paper has been announced in the following NEP Reports:

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