Common stock returns in the pre-WWI Berlin Stock Exchange

被引：8

作者：

Fohlin, Caroline ^{[1
]}

Reinhold, Steffen ^{[2
]}

机构：

[1] Johns Hopkins Univ, Baltimore, MD 21218 USA

[2] Univ Mannheim, MEA, Mannheim, Germany

来源：

CLIOMETRICA | 2010年 / 4卷 / 01期

关键词：

Stock market anomalies; Book-to-market; Value effect; Size effect; CROSS-SECTION; ANOMALIES; PREMIUM; GROWTH; YIELD; RISK; LAW;

D O I：

10.1007/s11698-009-0037-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide new evidence on the efficiency of the Berlin Stock Exchange prior to World War I, when it ranked among the top few markets worldwide by market capitalization. Using a new set of monthly stock price data for a random sample of German companies between 1904 and 1910, we estimate a typical three-factor model and find that returns relate positively to risk (beta), but that book-to-market ratios enter as well (negatively). Firm size and earnings/price ratio relate positively but weakly to returns. The results indicate that the Berlin market did not suffer from unusually large pricing anomalies; thus, its performance was not substantially different from modern markets. Also supporting the conclusion of market efficiency, a momentum portfolio earns returns not different from zero, on average.

引用

页码：75 / 96

页数：22

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