Publicaties
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The long-run persistence in dividend policy Universiteit Antwerpen
Dividend policy is not set de novo each year, but dividends are smoothed from one year to the next, leading to a short-term persistent component. In this paper, we investigate whether there is also long-run persistence in dividend policy, by using a unique sample of firms listed on the Brussels Stock Exchange since 1824. We show that dividend smoothing leads to a long-term persistent component in dividend policy, as we find evidence that the ...
Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838–1939 Universiteit Antwerpen
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 ...
Does time series momentum also exist outside traditional financial markets? Near-laboratory evidence from sports betting Universiteit Antwerpen
The presence of time series momentum in the returns of financial assets puzzles economists. We show that this anomaly is also present in sports betting, a seemingly unrelated market and a near-laboratory setting. We find both a statistically significant and economically meaningful difference between the returns of bets on recent winners compared to recent losers. These differences are not due to rational compensations for variance or skewness, ...
Decomposing the idiosyncratic volatility anomaly among euro area stocks Universiteit Antwerpen
We estimate the widely documented idiosyncratic volatility premium at a statistically and economically significant −7.27 basis points monthly among euro area stocks. Furthermore, we test the robustness of Hou and Loh (2016; HL) US findings on the decomposition of the premium in fractions related to lottery characteristics and market frictions. In line with HL, we are able to explain approximately 30% of the anomaly with a balanced contribution ...
Efficient spread betting markets Universiteit Antwerpen
Are simple trading strategies profitable? It is a question that has been on the minds of academics and practitioners for decades. In this paper, we review the longstanding literature on trading strategies in spread betting (also known as handicap betting), a popular sports betting microstructure. We review over 600 strategy implementations and find that market efficiency and systematic misperceptions are not mutually exclusive per se. ...
Stock exchange regulation and the official price lists of the stock exchanges of Brussels and Antwerp, 1801–1935 Universiteit Antwerpen
To fully understand and exploit the contents of stock exchange official price lists, an in-depth knowledge of local stock exchange regulations and practices is required. This article offers a comparative perspective on price discovery and quotation on the two most important Belgian stock exchanges, Brussels and Antwerp, from their establishment in 1801 up to the reform of 1935.
De grote conglomeraten Universiteit Antwerpen
Mind the floor Universiteit Antwerpen
Returns on foreign investment during the pre-1914 era Universiteit Antwerpen
Portfolio investors during 1880-1914 were motivated by the prospect of higher (ex-ante) expected returns and the search for diversification. At the London stock exchange, such overseas portfolios also realised higher (ex-post) returns than domestic portfolios. However, this result cannot be generalised. Higher return expectations for portfolio investments in stocks of companies investing in Russia (listed at the Brussels Stock Exchange) did not ...