Testing Asset Pricing Theory on Six Hundred Years of Stock Returns : Prices and Dividends for the Bazacle Company from 1372 to 1946

David le Bris, William N. Goetzmann, Sébastien Pouget

The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent dividends and a time-varying risk correction. The model is not rejected by the data. Variations in expected future dividends are found to explain between one-sixth and one-third of variations in prices. Moreover, the risk correction is correlated with macroeconomic shocks, in particular with the volatility of grain prices

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Year of publication:	June 2014
Authors:	Bris, David le
Other Persons:	Pouget, Sébastien (contributor) ; Goetzmann, William N. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Dividende \| Dividend \| Börsenkurs \| Share price \| Kapitalmarkttheorie \| Financial economics \| Schätzung \| Estimation \| Frankreich \| France \| Risiko \| Risk \| Geschichte \| History \| Mühlenindustrie \| Grain milling industry \| Wasserkraftwerk \| Hydropower plant

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w20199
Type of publication:	Book / Working Paper
Language:	English
Notes:	System requirements: Adobe [Acrobat] Reader required for PDF files Mode of access: World Wide Web Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w20199 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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