In this paper, we introduce a completely new and unique historical dataset of Belgian stock returns during the nineteenth and the beginning of the twentieth century. This high-quality database comprises stock price and company related information on more than 1500 companies. Given the extensive...

It is commonly agreed that the term spread and stock returns are useful in predicting recessions.We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators.Both risk-return analysis and the theory of investment under uncertainty...

Following the approach of Fama and Schwert (1977), we investigate the inflation hedging ability of stocks, gold and real estate for Vietnam and Thailand. We estimate the relationship between their returns and various inflation measures (actual inflation, expected inflation as well as unexpected...

Some years ago, Crack and Ledoit (1996) discovered a strikingly geometric structure when plotting US stock returns against themselves. Since this pattern, in which lines radiating from the origin pop up, resembles the navigating tool it was named “Compass Rose”. Although authors differ in...

Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and...

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty...

This paper decomposes the explained part of the CDS spread changes of 31 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...

This paper decomposes the explained part of the CDS spread changes of 31 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...

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...