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The Present Value Relation Over Six Centuries: The Case of the Bazacle Company

Will Goetzmann, David Le Bris and Sébastien Pouget

No 17-794, TSE Working Papers from Toulouse School of Economics (TSE)

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 corpo- ration. 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.

Keywords: asset pricing; history of finance; present-value tests (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his
Date: 2017-04
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