Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838–1939

IF 1.4 1区 历史学 Q3 ECONOMICS
Kevin Van Mencxel, Jan Annaert, Marc Deloof
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引用次数: 0

Abstract

We investigate corporate bond returns for the period 1838–1939 by compiling a unique new database of 201 000 monthly observations of bonds traded on the Brussels Stock Exchange. The value-weighted annualized total rate of return, net of coupon defaults and taxes, is 4.35 per cent in nominal terms and 2.81 per cent in real terms. Estimates of average returns show that corporate bonds outperformed equities during the entire nineteenth century. We find that the risk-adjusted performance of corporate bonds based on Sharpe ratios exceeds that of equities and sovereign bonds during the corporate bond market's first centennial.

长期债券?1838-1939年比利时公司债券的收益率
我们建立了一个独特的新数据库,其中包含在布鲁塞尔证券交易所交易的 201,000 种债券的月度观测数据,从而对 1838-1939 年期间的公司债券收益率进行了研究。扣除票面违约和税收后的价值加权年化总回报率名义值为 4.35%,实际值为 2.81%。对平均回报率的估算表明,在整个 19 世纪,公司债券的表现都优于股票。我们发现,在公司债券市场的第一个百年中,根据夏普比率进行风险调整后的公司债券表现超过了股票和主权债券。
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来源期刊
CiteScore
3.60
自引率
27.30%
发文量
84
期刊介绍: The Economic History Review is published quarterly and each volume contains over 800 pages. It is an invaluable source of information and is available free to members of the Economic History Society. Publishing reviews of books, periodicals and information technology, The Review will keep anyone interested in economic and social history abreast of current developments in the subject. It aims at broad coverage of themes of economic and social change, including the intellectual, political and cultural implications of these changes.
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