Publications

Scuttle for Shelter: Investor Flight-to-Safety and Political Uncertainty during the Spanish Second Republic (with Stefano Battilossi & Stefan Houpt)

The Spanish Second Republic was a unique experiment of democratization in interwar Spain, which was characterized by extreme levels of political uncertainty. In response to this uncertainty, we find that investors sold stocks in favor of government bonds. In fact, political uncertainty had a negative effect on the aggregate stock market index, a positive effect on stock market volatility, and significant differences in the cross-section of stock return, consistent with their exposure to the uncertainty. This suggests that Spanish investors did not seem to perceive a soviet-style social revolution as a credible threat.

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European Review of Economic History, accepted


The Effect of War Risk on Managerial and Investor Behavior: Evidence From the Brussels Stock Exchange in the Pre-1914 Era

With two news-based measures on war, I document that managers mitigated war risk through dividend cuts, arguably to establish a war chest. Moreover, I find that companies postponed their initial public offerings and that foreign companies were more likely to delist after the onset of wars. Investors reacted negatively to the increase in war news coverage. There is evidence of mean-reversion after a threat of war and a negative drift following an act of war. Finally, I highlight the importance of proximity to military conflicts and thus question the existence of an empire effect on the BSE.

Journal of Economic History, 2020, Volume 80, Issue 3, pp. 629-669

News coverage: Investor Amnesia and EHS - The Long Run (earlier versions)

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Dividend growth and return predictability: a long-run re-examination of conventional wisdom (with Jan Annaert and Marc Deloof)

We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected returns and that expected dividend growth is only weakly forecastable. However, we find robust dividend growth predictability evidence in every time period. A lack of dividend smoothing is the most important reason for the disconnect with previous evidence. Furthermore, we find return predictability in the post-World War II period when we adjust the dividend yields for changing index composition, business cycle variation and structural breaks. This is explained by a simultaneous increase in equity duration, induced by an increasing importance of growth stocks.

Journal of Empirical Finance, 2019, volume 52, pp. 112-127

News coverage: Trends, Investment Officer and Investor Amnesia

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Short articles

Go Active or Stay Passive: Investment Trust, Financial Innovation and Diversification in Belgium's early days (with Jan Annaert)

In 1836, Société Générale created the world’s first closed-end equity fund, Mutualité Industrielle. It promised to be a diversification tool targeted towards less-wealthy investors. We confirm that the trust’s returns were indeed better than returns on synthetic portfolios such investors had access to. However, it never became a commercial success. This paper presents a possible rational explanation why this innovation was liquidated in 1873. First, we show that the trust offered a performance similar to randomly-selected portfolios. Second, portfolio strategies to which mostly wealthy and sophisticated investors had access were able to outperform the trust. Mutualité Industrielle’s failure to offer a sufficiently attractive alternative to investors is consistent with its difficulty to attract sufficient funds to keep the trust in business.

Explorations in Economic History, 2021

News coverage: Investor Amnesia and Trends

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Is fertility a leading indicator for stock returns?

If fertility behavior is closely related to business cycle behavior, there should be evidence in financial markets. I document that a decrease in fertility growth negatively forecasts real excess returns, several months ahead. More interestingly, this effect is not yet captured by demographic, business cycle or confidence metrics. The relationship is robust in specific subsamples. Overall, this suggests that fertility growth is a leading indicator for recessions.

Finance Research Letters, 2019, Volume 33

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Non-refereed articles

Is onvoldoende kiezen verliezen? Diversificatie en beleggen in crisisperiodes sinds de oprichting van België

Beleggingsleer toont aan dat diversificatie het idiosyncratisch risico van aandelenportefeuilles vermindert of zelfs elimineert. Echter, de meerderheid van beleggers heeft een beperkt aantal aandelen in hun portefeuille. Uit de academische literatuur blijkt dat dit sinds de 19de eeuw van toepassing is en ook vandaag nog steeds geldt. Een verklaring is een gebrek aan financiële kennis, het overschatten van kennis en capaciteiten of een gebrek aan (inanciële middelen. De COVID-19 pandemie – met een daling van aandelenkoersen van meer dan 20%, in het begin van maart 2020 – zorgde ervoor dat beleggers op een andere manier naar hun portefeuille kijken. Diversificatie won terug in belangrijkheid. Maar is dit wel terecht? Is onvoldoende kiezen verliezen?

Bank- en Financiewezen

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