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Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833-2005

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dc.contributor.author Annaert, Jan
dc.contributor.author Buelens, Frans
dc.contributor.author Cuyvers, Ludo
dc.contributor.author Deloof, Marc
dc.contributor.author De Ceuster, Marc
dc.contributor.author De Schepper, Ann
dc.date.accessioned 2012-10-05T09:35:59Z
dc.date.available 2012-10-05T09:35:59Z
dc.date.issued 2011
dc.identifier.citation Annaert, 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.issn 0968-5650
dc.identifier.issn 1474-0052 (Online)
dc.identifier.uri http://hdl.handle.net/10394/7445
dc.description Published for the European Association for Banking and Financial History en_US
dc.description.abstract In 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.uri http://dx.doi.org/10.1017/S0968565011000187
dc.language.iso en en_US
dc.publisher Cambridge University Press en_US
dc.subject Stock return indices en_US
dc.subject Brussels Stock Exchange en_US
dc.subject capital gain en_US
dc.subject dividends en_US
dc.title Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833-2005 en_US
dc.type Article en_US


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