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Long-run stock returns: evidence from Belgium 1838–2010

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We investigate monthly returns of Belgian stocks listed on the Brussels stock exchange in the period 1838–2010. Our dataset is based on official quotation lists of the stock exchange, and it takes into account all common stocks that were ever listed on the stock exchange during the period considered. This allows us to investigate the performance of the market as a whole in a consistent way over the nineteenth and twentieth centuries. We find that stock returns strongly depend on dividend income. While real capital appreciation tends to be negative, the dividend yield is remarkably stable over time. Stocks were less risky in the nineteenth century than in the twentieth century. While the equity premium is overall positive, the reward for equity risk is very volatile over time. Even in the long-run equity investors frequently earned a negative return. There are no consistent differences between returns on small stocks and large stocks.

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  1. Annaert et al. (2011) consider the period 1833–2005 but they investigate a research question which is different from the ones addressed in this paper: Are blue chip stock market index good proxies for all-shares market indices?

  2. The figure includes all common stocks issued by Belgian firms with main activity in Belgium or abroad and Belgian colonial firms as defined by SCOB. It does not include stocks issued by foreign firms.

  3. The number (percentage) of stocks that was not “common” and thus excluded was 2 (5.13 %) in 1850, 29 (18.35 %) in 1875, 124 (27.87 %) in 1900, 260 (31.94 %) in 1925, 151 (23.85 %) in 1950, 40 (11.83 %) in 1975, and 5 (3.57 %) in 2000.

  4. Since the official price index is unreliable during World War II, for this period, we use a weighted average of the official price index (75 %) and a black market index (25 %) (source: National Bank of Belgium).

  5. Positive serial correlation may underestimate volatility. As stocks were less liquid in the nineteenth century, Fig. 3 reports robust estimates of volatility. These are consistent with the results reported in Table 1.

  6. Assuming a minus 100 % return for all these delistings decreases the geometric mean return by only 0.05 %. The real effect of delistings on stock returns is very likely to be even smaller, since not all delistings with unknown returns will have a minus 100 % return.

  7. All reported figures are geometric mean, annualized (historical) equity premiums.

  8. Another form of financial restriction occurred during WW II, when the German occupiers restricted the daily allowable increase in stock prices and limited the payment of dividends to six percent of equity. They also strongly favored investments in state bonds which helped them to finance the war. After the war, the freedom of dividend payments was re-installed and firms were allowed to pay the remaining amount of dividends that they were not able to pay during the war. The equity premium we find for the periods 1919–1939 and 1946–2010 (i.e., excluding WW II) in Table 3 suggest that these financial restrictions do not affect the overall risk premium much.

  9. At the end of 1955, colonial firms constituted 41.66 % of total market capitalization of Belgian firms listed on the Brussels Stock Exchange. By the end of 1959, the share of colonial firms in market capitalization had declined to 19.36 %.

  10. We used their lowest estimate for the equity premium from their Table 4.

  11. In addition, we have checked whether small stocks on the Brussels stock exchange are from different industries than large stocks. The only notable difference we find is that a smaller proportion of small stocks are financial stocks. This difference is substantial in the 19th century, but gradually decreases over time, becoming very small by the 1980s. Industry differences therefore do not seem to explain our findings on the size effect.


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We are grateful to Piet Sercu, Peter Temin, conference participants at the European Historical Economics Society conference in Dublin, the Financial History workshop in Rotterdam, the 3L Finance workshop in Brussels, and the Economic History Association meeting in Evanston as well as two anonymous referees for helpful comments and suggestions.

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Correspondence to Marc Deloof.

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Annaert, J., Buelens, F. & Deloof, M. Long-run stock returns: evidence from Belgium 1838–2010. Cliometrica 9, 77–95 (2015).

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