Project: Examining asset pricing models and the predictability of stock and bond returns. An 'Out-of-Sample' study based on historical data from the Brussels Stock Exchange
- project duration
- 01-OCT-05 – 30-SEP-08
- Employing a completely new, unique historical en comprenhensive dataset of bond and stock returns for the Brussels Stock Exchange (1832-1914), I examine the predictability of returns of financial assets. The analysis focuses both on the time-varying as well as the cross-sectional behavior of expected returns and risk. Using state-of-the-art estimation techniques I will test several asset pricing theories (CAPM, Fama & Frech multifactor model, …) en anomalies en check whether these anomalies are consistent with fundamental economic risk factors.