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Long-horizon mean reversion for the Brussels stock exchange : evidence for the 19th century

Annaert, Jan (contributor); Van Hyfte, Wim (contributor) - 2006

Persistent link: https://www.econbiz.de/10003332082

New Belgian Stock Market Returns: 1832–1914

Annaert, Jan; Buelens, Frans; Ceuster, Marc J.K. De - In: Explorations in Economic History 49 (2012) 2, pp. 189-204

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....

Persistent link: https://www.econbiz.de/10010576528

Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)

Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43

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...

Persistent link: https://www.econbiz.de/10011042812

Long-run stock returns : evidence from Belgium 1838 - 2010

Annaert, Jan; Buelens, Frans; Deloof, Marc - In: Cliometrica : journal of historical economics and … 9 (2015) 1, pp. 77-95

Persistent link: https://www.econbiz.de/10010503418

Dividend growth and return predictability: a long-run re-examination of conventional wisdom

Verdickt, Gertjan; Annaert, Jan; Deloof, Marc - In: Journal of empirical finance 52 (2019), pp. 112-127

Persistent link: https://www.econbiz.de/10012170658

Value and size effect : now you see it, now you don't

Annaert, Jan; Crombez, John; Spinel, Bart; Van Holle, … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001736510

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - 2012

Persistent link: https://www.econbiz.de/10009669593

Are blue chip stock market indices good proxies for all-shares market indices? : the case of the Brussels stock exchange 1833 - 2005

Annaert, Jan; Buelens, Frans; Cuyvers, Ludo; De … - In: Financial history review 18 (2011) 3, pp. 277-308

Persistent link: https://www.econbiz.de/10009380083

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411

Persistent link: https://www.econbiz.de/10010126415

Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)

Annaert, Jan; Mensah, Lord - In: Explorations in economic history : EEH 52 (2014), pp. 22-43

Persistent link: https://www.econbiz.de/10010381501