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...

This paper uses completely new data to study the variations in beta when it deviates from the constancy assumption presumed by the market model. The concentration of the various researches on beta based on post 1926 data makes the 19th century Brussels Stock Exchange (BSE) data a very good...