Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873-1914)

dc.contributor.author	Annaert, J
dc.contributor.author	Mensah, L
dc.date.accessioned	2018-11-05T11:29:28Z
dc.date.available	2018-11-05T11:29:28Z
dc.date.issued	2014
dc.description.abstract	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. © 2013 Elsevier Inc.	en_US
dc.identifier.issn	144983
dc.identifier.other	VOL. 52(1)
dc.identifier.other	DOI: 10.1016/j.eeh.2013.10.002
dc.identifier.uri	http://ugspace.ug.edu.gh/handle/123456789/25264
dc.language.iso	en	en_US
dc.publisher	Explorations in Economic History	en_US
dc.subject	Brussels stock exchange	en_US
dc.subject	CAPM	en_US
dc.subject	Dividend yield	en_US
dc.subject	Momentum	en_US
dc.subject	Size effect	en_US
dc.subject	Total risk	en_US
dc.title	Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873-1914)	en_US
dc.type	Article	en_US

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