Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838–1939
基于布鲁塞尔证券交易所201,000个月度观测数据，研究了1838-1939年公司债券的回报率，发现整个19世纪公司债券表现优于股票，且风险调整后表现超过股票和主权债券。
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 per cent in nominal terms and 2.81 per cent 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.