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

Author:

Van Mencxel Kevin1ORCID,Annaert Jan2ORCID,Deloof Marc2ORCID

Affiliation:

1. University of Antwerp

2. University of Antwerp and Antwerp Management School

Abstract

AbstractWe 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.

Funder

Fonds Wetenschappelijk Onderzoek

Publisher

Wiley

Reference69 articles.

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