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dc.contributor.authorAnnaert, Jan
dc.contributor.authorBuelens, Frans
dc.contributor.author20844840 - Cuyvers, Ludo
dc.contributor.authorDeloof, Marc
dc.contributor.authorDe Ceuster, Marc
dc.contributor.authorDe Schepper, Ann
dc.date.accessioned2012-10-05T09:35:59Z
dc.date.available2012-10-05T09:35:59Z
dc.date.issued2011
dc.identifier.citationAnnaert, J. et al. 2011. Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833-2005. Financial history review, 18(3):277-308. [http://journals.cambridge.org/action/displayJournal?jid=FHR]en_US
dc.identifier.issn0968-5650
dc.identifier.issn1474-0052 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/7445
dc.descriptionPublished for the European Association for Banking and Financial Historyen_US
dc.description.abstractIn this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange in this period. Our results support the empirical practice of concentrating on just the largest stocks. The indices we construct are based on one of the longest Belgian time series available. The indices take into account the exact dividends, the timing of the dividend cash flows and all capital operations. We are therefore able to decompose total returns into capital gain returns and dividend returns, which is not possible with most historical return series. We show that, to construct a credible return index, it is crucial to fully take into account dividends.en_US
dc.description.urihttp://dx.doi.org/10.1017/S0968565011000187
dc.language.isoenen_US
dc.publisherCambridge University Pressen_US
dc.subjectStock return indicesen_US
dc.subjectBrussels Stock Exchangeen_US
dc.subjectcapital gainen_US
dc.subjectdividendsen_US
dc.titleAre blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833-2005en_US
dc.typeArticleen_US


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