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

Jan Annaert and Lord Mensah

Explorations in Economic History, 2014, vol. 52, issue C, 22-43

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.

Keywords: CAPM; Size effect; Momentum; Total risk; Dividend yield; Brussels Stock Exchange (search for similar items in EconPapers)
JEL-codes: G00 G01 G02 G10 G11 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:exehis:v:52:y:2014:i:c:p:22-43

DOI: 10.1016/j.eeh.2013.10.002

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