Common stock returns in the pre-WWI Berlin Stock Exchange

Caroline Fohlin and Steffen Reinhold ()

Cliometrica, Journal of Historical Economics and Econometric History, 2010, vol. 4, issue 1, 75-96

Abstract: 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.

Keywords: Stock market anomalies; Book-to-market; Value effect; Size effect (search for similar items in EconPapers)
JEL-codes: G12 N2 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:afc:cliome:v:4:y:2010:i:1:p:75-96

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