Bonds for the Long Run? The Rate of Return on Corporate Bonds in Belgium, 1838-1939

Van Mencxel, K., Annaert, J., & Deloof, M. (2024). Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838-1939. Forthcoming at The Economic History Review.

64 Pages Posted: 1 Jun 2022 Last revised: 3 Apr 2024

See all articles by Kevin Van Mencxel

Kevin Van Mencxel

University of Antwerp - Department of Accounting & Finance

Jan Annaert

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

Marc Deloof

University of Antwerp; University of Antwerp - Antwerp Management School

Date Written: February 28, 2024

Abstract

We investigate corporate bond returns for the period 1838-1939 by compiling a unique new database of 201,000 monthly observations of bonds traded on the Brussels Stock Exchange. The value-weighted annualized total rate of return, net of coupon defaults and taxes, is 4.35% in nominal terms and 2.81% in real terms. Estimates of average returns show that corporate bonds outperformed equities during the entire nineteenth century. We find that the risk-adjusted performance of corporate bonds based on Sharpe ratios exceeds that of equities and sovereign bonds during the corporate bond market's first centennial.

Keywords: Indices, Long-Run Returns, Corporate Bonds, Historical Bond Markets, Data Bias

JEL Classification: G11, G12, N23, N24

Suggested Citation

Van Mencxel, Kevin and Annaert, Jan and Deloof, Marc, Bonds for the Long Run? The Rate of Return on Corporate Bonds in Belgium, 1838-1939 (February 28, 2024). Van Mencxel, K., Annaert, J., & Deloof, M. (2024). Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838-1939. Forthcoming at The Economic History Review., Available at SSRN: https://ssrn.com/abstract=4120896 or http://dx.doi.org/10.2139/ssrn.4120896

Kevin Van Mencxel (Contact Author)

University of Antwerp - Department of Accounting & Finance ( email )

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

HOME PAGE: http://https://www.kevinvanmencxel.com/

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

Marc Deloof

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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