New Belgian Stock Market Returns: 1832-1914

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. Over this period, our dataset includes 446,374 prices, 23,976 dividends, 371 stock and reverse splits (or other capital operations) on 2037 stocks of 1387 (foreign and Belgian) companies. Our dataset includes all shares and bonds but also high-quality information on prices, dividends, shares outstanding and market capitalization. In addition, company, country and sector information is available. We construct value weighted, price weighted and equally weighted indices as well as dividend yields. We find three important results. First, total nominal returns hover between 3.29% and 5.35% per annum, depending on how individual stocks are aggregated into the index. Second, dividend income constitutes the major part of total return and dividend distributions have a clear seasonal pattern. Third, the results highlight several drawbacks of the Drappier indices, especially an upward bias in expected equity performance.

► We construct new return time series on all common stocks for Belgium for the period 1832-1914. ► Total returns are between 3.29% and 5.35%, depending on how stocks are aggregated into the index. ► Dividends constitute the major part of returns. ► Dividend distributions have a seasonal pattern. ► Older indices show several drawbacks, especially an upward bias in expected equity performance. ► Total returns are hardly affected by delisting.