| Автор | Annaert, Jan |
| Автор | Buelens, Frans |
| Автор | Cuyvers, Ludo |
| Автор | De Ceuster, Marc |
| Автор | Deloof, Marc |
| Автор | De Schepper, Ann |
| Дата выпуска | 2011 |
| dc.description | In this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange in this period. Our results support the empirical practice of concentrating on just the largest stocks. The indices we construct are based on one of the longest Belgian time series available. The indices take into account the exact dividends, the timing of the dividend cash flows and all capital operations. We are therefore able to decompose total returns into capital gain returns and dividend returns, which is not possible with most historical return series. We show that, to construct a credible return index, it is crucial to fully take into account dividends. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © European Association for Banking and Financial History e.V. 2011 |
| Тема | stock return indices |
| Тема | Brussels stock exchange |
| Тема | capital gain |
| Тема | dividends |
| Тема | G100 |
| Тема | G110 |
| Тема | G120 |
| Название | Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833–2005<sup>1</sup> |
| Тип | research-article |
| DOI | 10.1017/S0968565011000187 |
| Electronic ISSN | 1474-0052 |
| Print ISSN | 0968-5650 |
| Журнал | Financial History Review |
| Том | 18 |
| Первая страница | 277 |
| Последняя страница | 308 |
| Аффилиация | Annaert Jan; University of Antwerp |
| Аффилиация | Buelens Frans; University of Antwerp |
| Аффилиация | Cuyvers Ludo; University of Antwerp and North-West University |
| Аффилиация | De Ceuster Marc; University of Antwerp |
| Аффилиация | Deloof Marc; University of Antwerp and Université Catholique de Louvain |
| Аффилиация | De Schepper Ann; University of Antwerp |
| Выпуск | 3 |
