In May 1927, the German central bank intervened indirectly to reduce lending to equity investors. The crash that followed ended the only stock market boom during Germany’s relative stabilization 1924-28. This paper examines the factors that lead to the intervention as well as its consequences....

This paper presents new monthly capital gains, dividend yield, and total return indices for common equities quoted on British stock exchanges from 1829 to 1929. As well as creating an all-share index, we create a blue-chip index of the 30 largest companies, which we splice to the Financial Times...

This paper studies the effect of investor sentiment on the London stock market on a daily basis over the period 1899 to 2010. We use a broad mix of reporting from the Financial Times as our proxy for investor sentiment. The main contribution of this paper is threefold. First, newspaper...

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

Using a hand-collected dataset, we examine share trading activity over the period 1882 to 1920 for the North British and Mercantile Insurance Company, one of the largest UK companies of the time. Our main finding is that the steady flow of rentiers into the shareholding constituency of this...

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...

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...

This paper aims to answer the question if and how much the foreign investors influence the boom and bust of small stock exchanges. It examines the impact of the foreign investors' turnover towards small stock exchange turnover, particularly the Macedonian Stock Exchange. Based on the Macedonian...

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...

La volatilité des actions françaises montre une forte instabilité depuis 150 ans. Très faible avant la Première Guerre mondiale, elle augmente de façon continue durant l'entre-deux-guerres. Malgré la paix et la stabilité économique, la volatilité n'a jamais retrouvé ses niveaux...