Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/21990
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dc.contributor.authorMensah, L.-
dc.contributor.authorAnnaert, J.-
dc.date.accessioned2017-04-25T16:04:14Z-
dc.date.available2017-04-25T16:04:14Z-
dc.date.issued2014-
dc.identifier.urihttp://hdl.handle.net/123456789/21990-
dc.description.abstractAbstract 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.en_US
dc.format.extentpp 22-43-
dc.language.isoenen_US
dc.relation.ispartofseries;Vol. 52-
dc.subjectCAPMen_US
dc.subjectSize effect; Momentumen_US
dc.subjectTotal risken_US
dc.subjectDividend yielden_US
dc.subjectBrussels Stock Exchangeen_US
dc.titleCross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)en_US
dc.typeArticleen_US
Appears in Collections:Department of Banking and Finance

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