``Bonds for The Long Run? The Rate of Return on Corporate Bonds in Belgium, 1838-1939" 

With J. Annaert and M. Deloof, The Economic History Review, 2024, 77(4): p. 1414-1441

[BibTex] [Earlier Version] [Published Version]

Awarded the French Finance Association (AFFI) Special Commendation of the 2022 Gallais-Hamonno Research Prize in Historical Finance [Link]

Abstract: We 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% in nominal terms and 2.81% 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.

``The Cross-Section of Corporate Bond Returns: The Pre-World War I Evidence" 

[BibTeX] [Working Paper]

Earlier version was finalist for John Doukas Best PhD Paper Award at EFMA 2023 Meeting and New Researcher Prize at EHS 2023 Meeting

Abstract: What explains the cross-sectional variation in corporate bond returns? This paper uses novel hand-collected data from the Brussels Stock Exchange from January 1868 through July 1914 to examine the cross-section of corporate bond returns out-of-sample. Results over this pre-OTC era generally differ from modern OTC bond market results. Momentum carries significant premia. There is evidence of a weak long-term reversal effect. In contrast, there is no reliable relation between downside risk, credit quality, illiquidity, or book-to-market, and returns. Overall, the evidence reveals a perspective consistent to the argument of a replication crisis in corporate bond return anomalies.

``The Corporate Bond Risk Premium: New Data and Evidence from The Origin of Corporate Default"

With J. Annaert

[BibTeX], Draft Coming Soon

Abstract: This paper produces new long-run estimates of the rate of default during the early history of the corporate bond market. Estimates are obtained using a novel, hand-collected dataset of bonds by firms on the Brussels Stock Exchange, the earliest financial center documenting bond default experience. We find a long-term average default rate of 1.68% per annum for 1838–1939. Credit spreads are roughly thrice as large as default losses, resulting in an average credit risk premium of about 113 basis points. Our findings provide intriguing evidence that historical bonds outside the US were not as safe as previously believed and that the pricing of credit risk by financial markets is consistent over time.