Financial Diversification before WW1: A Risk/Return Analysis of Portfolio’s Advice of French Financial Analyst Alfred Neymarck
Maxime Merli () and
Antoine Parent ()
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Maxime Merli: LaRGE Research Center, Université de Strasbourg
Working Papers of LaRGE Research Center from Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg
In this paper, we propose an original analysis of advice given by financial analysts prior to WW1. Our paper focuses on the writings of A. Neymarck, one of the most popular French analysts in the early 20th Century. The creation of portfolios from a new database composed of the monthly returns of all the security types listed on the Paris Stock Exchange from 1903 to 1912 has provided results demonstrating that Neymarck correctly identified the risk in various sectors. The performances of the portfolios built according to Neymarck’s guidelines reveal the ranking announced by the analyst, both in terms of risk and in terms of return: the richer the investor, the riskier and the more profitable his portfolio was seen to be. Finally, the construction of optimal portfolios according to the Modern Portfolio Theory enables us to pinpoint the few imperfections of Neymarck’s advice, which nevertheless appears to be driven by solid financial analysis.
Keywords: Portfolio advice; Efficiency; Financial Markets prior to WW1 (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 N20 N23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:lar:wpaper:2018-03
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