We investigate corporate bond returns for the period 1838-1939 by using a unique new sample from the Brussels Stock Exchange. The value-weighted annualized total rate of return, net of defaults and taxes, is 4.33% in nominal terms and 2.81% in real terms. Estimates of average returns show that...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

For almost a century, we document a significant January effect on the French equity market. We find strong evidences in favor of the tax-loss selling explanation for this phenomenon. Indeed, the January effect was insignificant before the introduction of a “confiscatory tax” on capital gains...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

For each of the three major asset classes: stocks, bonds and treasury bills, this is the first article to present estimates of annual nominal and real returns for the Danish capital market during the whole twentieth century. The average annual Danish stock return in excess of bond (bill) return...

This article investigates the effects of governmental activity (turnover and color) on stock returns in France which suffered 150 different governments between 1871 and 2008. An appointment ends an uncertainty: when a government is appointed the average monthly stock price return is three times...

Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a narrative-based approach à la Shiller (2019), we find...

We investigate whether the hypothesis of money illusion can explain the negative or non-existent stock returns and inflation co-movement, and lead to deviations from the CAPM-implied risk-return relation in ten Central Eastern European (CEE) markets. We employ the Cohen, Polk and Vuolteenaho...

We study the effect of discrimination against Jewish managers and owners on their firms' stock during the Third Reich. The stock of firms with Jewish managers underperformed by around 5% annually, with abnormal performance persisting on average for three years until firm "Aryanization." Firms...