NDLI: Common stock returns in the pre-WWI Berlin Stock Exchange

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Common stock returns in the pre-WWI Berlin Stock Exchange

Content Provider	Springer Nature Link
Author	Fohlin, Caroline Reinhold, Steffen
Copyright Year	2009
Abstract	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.
Starting Page	75
Ending Page	96
Page Count	22
File Format	PDF
ISSN	18632505
Journal	Cliometrica
Volume Number	4
Issue Number	1
e-ISSN	18632513
Language	English
Publisher	Springer-Verlag
Publisher Date	2009-03-11
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Stock market anomalies Book-to-market Value effect Size effect Methodology and the History of Economic Thought Econometrics History Economic Theory
Content Type	Text
Resource Type	Article
Subject	History Economics and Econometrics

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