This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for US data and find evidence of a negative cross-sectional relation between extreme positive returns...

This paper decomposes the explained part of the CDS spread changes of 32 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

The Nelson–Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated grid search parameters, however, have...

The limited availability of high quality and computer readable data seriously impedes research in history and finance. We introduce a new monthly return series for Belgian owned equity based on Brussels Stock Market data for the period 1832–1914 as an improvement to the popular Drappier index....

This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we find evidence of a negative cross-sectional relation between extreme positive returns and average returns after controlling...

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...

We investigate monthly returns of Belgian stocks listed on the Brussels stock exchange in the period 1838–2010. Our dataset is based on official quotation lists of the stock exchange, and it takes into account all common stocks that were ever listed on the stock exchange during the period...

Despite the wide acceptance of return-based style analysis, the method has several limitations. One important drawback is the assumption that style exposures are time-invariant. We apply results on break tests developed in Bai and Perron (1998, 2003) to test for style breaks. We find strong...