Long Run Stock Returns: Evidence from Belgium 1838-2010

30 Pages Posted: 4 Oct 2012

See all articles by Jan Annaert

Jan Annaert

University of Antwerp Department of Accounting & Finance; University of Antwerp - Antwerp Management School

Frans Buelens

University of Antwerp

Marc Deloof

University of Antwerp; University of Antwerp - Antwerp Management School

Date Written: October 3, 2012

Abstract

We investigate monthly returns of Belgian stocks listed on the Brussels Stock Exchange in the period 1838-2010. Our sample covers all stocks in the market over the entire period. Stock returns strongly depend on dividend income: real capital appreciation tends to be negative. Stocks were less risky in the 19th century than in the 20th 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

Keywords: long run stock returns, equity premium, size effect, 19th and 20th centuries, Brussels stock exchange

JEL Classification: G12, N23, N24

Suggested Citation

Annaert, Jan and Buelens, Frans and Deloof, Marc, Long Run Stock Returns: Evidence from Belgium 1838-2010 (October 3, 2012). Available at SSRN: https://ssrn.com/abstract=2156803 or http://dx.doi.org/10.2139/ssrn.2156803

Jan Annaert

University of Antwerp Department of Accounting & Finance ( email )

Faculty of Applied Economics
Prinsstraat 13
Antwerp, B-2000
Belgium

HOME PAGE: http://https://www.uantwerp.be/en/staff/jan-annaert/

University of Antwerp - Antwerp Management School ( email )

Boogkeers 5
Antwerp, 2000
Belgium

Frans Buelens

University of Antwerp ( email )

Prinsstraat 13
Antwerp, Antwerp 2000
Belgium

Marc Deloof (Contact Author)

University of Antwerp ( email )

Prinsstraat 13
Faculteit TEW
Antwerpen, 2000
Belgium
+32 3 265 41 69 (Phone)
+32 3 265 47 99 (Fax)

HOME PAGE: http://https://www.uantwerpen.be/en/staff/marc-deloof/

University of Antwerp - Antwerp Management School ( email )

Boogkeers 5
Antwerp, 2000
Belgium

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