The present value relation over six centuries: The case of the Bazacle company

David Le Bris (), William Goetzmann and Sébastien Pouget ()
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David Le Bris: TBS - Toulouse Business School
Sébastien Pouget: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, TSM - Toulouse School of Management Research - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - CNRS - Centre National de la Recherche Scientifique - TSM - Toulouse School of Management - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse

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Abstract: We study asset pricing over the longue durée using share prices and net dividends from the Bazacle company of Toulouse, the earliest documented shareholding corporation. The data extend from the firm's foundation in 1372 to its nationalization in 1946. We find an average dividend yield of 5% per annum and near-zero long-term, real capital appreciation. Stationary dividends and stock prices enable us to directly study how prices relate to expected cash flows, without relying on a rate of return transformation. A reduced-form asset pricing model with persistent dividends and a time-varying risk correction is not rejected by the data.

Date: 2019-04
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Citations: View citations in EconPapers (5)

Published in Journal of Financial Economics, 2019, 132 (1), pp.248-265. ⟨10.1016/j.jfineco.2017.03.011⟩

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Journal Article: The present value relation over six centuries: The case of the Bazacle company (2019)
Working Paper: The Present Value Relation Over Six Centuries: The Case of the Bazacle Company (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02281530

DOI: 10.1016/j.jfineco.2017.03.011

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