Goetzmann, Will, Le Bris, David and Pouget, Sébastien
(2017)
The Present Value Relation Over Six Centuries: The Case of the Bazacle Company.
TSE Working Paper, n. 17-794, Toulouse
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Abstract
We study asset pricing over the longue durée using share prices and net dividends from the Bazacle company of Toulouse, the earliest documented shareholding corpo- ration. The data extend from the firm's foundation in 1372 to its nationalization in 1946. We find an average dividend yield of 5% per annum and near-zero long-term, real capital appreciation. Stationary dividends and stock prices enable us to directly study how prices relate to expected cash flows, without relying on a rate of return transformation. A reduced-form asset pricing model with persistent dividends and a time-varying risk correction is not rejected by the data.
Item Type: | Monograph (Working Paper) |
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Sub-title: | The Case of the Bazacle Company |
Language: | English |
Date: | April 2017 |
Place of Publication: | Toulouse |
Uncontrolled Keywords: | asset pricing, history of finance, present-value tests |
Subjects: | B- ECONOMIE ET FINANCE |
Divisions: | TSM Research (Toulouse), TSE-R (Toulouse) |
Institution: | Université Toulouse 1 Capitole |
Site: | UT1 |
Date Deposited: | 13 Apr 2017 14:48 |
Last Modified: | 02 Apr 2021 15:55 |
OAI Identifier: | oai:tse-fr.eu:31621 |
URI: | https://publications.ut-capitole.fr/id/eprint/23678 |