• Bloody Foreigners! Overseas Equity on the London Stock Exchange, 1869-1928
    • ‘This paper presents new annual data on the extent and returns of overseas equity securities traded on the London Stock Exchange during 1869-1928… as well as capital gains, dividend yields, and total returns of domestic and foreign equity traded on British markets… The data reveal substantial differences in the mean and volatility of returns… An interesting feature of the data is that dividend yields were similar across regions, suggesting that investors in British markets demanded a certain minimal yield in order to hold equities, reaping higher returns (when they did, in fact, reap higher returns) via capital gains. Correlations of return data suggest that developed markets were more connected to each other (and to developing regions with colonial or trade connections), but that developing regions were not highly correlated with each other.’

  • The First 50 Years of the US Stock Market: New Evidence on Investor Total Return Including Dividends, 1793-1843
    • ‘Little is known about the performance of the US stock market before 1802, and evidence for the years following 1802 through the 1830s remains scanty. This paper describes a new database on total returns in the US stock market for the first fifty years of its existence, constructed in large part from data compiled by Sylla, Wilson and Wright (2006), combined with dividend information newly obtained from contemporaneous newspapers, along with information on capital stock obtained from contemporaneous directories. The new evidence clarifies the role and prominence of the New York market as compared to those of Boston, Philadelphia, and Baltimore. The outcome is a capital-weighted estimate of total returns over five decades. This estimate does not support Siegel’s (2014) thesis that multi-decade returns in the US market have always been on the order of 6.6% real, compounded. The paper concludes by considering explanations for the sub-par performance of the US stock market during this early period.’

  • The Ancient Roots of Modern Financial Innovation: The Early History of Regulatory Arbitrage
    • ‘This article contributes to that literature by tracing the roots of one specific application of one well-known technique. The technique is put-call parity. The put-call parity theorem states that given any three of the four following financial instruments– a zero-coupon bond, a share of stock, a call option (“call”) on the stock, and a put option (“put”) on the stock–the fourth instrument can be replicated.14 Thus, the theorem implies that any financial position that contains these assets can be constructed in at least two different ways.’
  • A Century of Corporate Takeovers: What Have We Learned and Where Do We Stand?
    • ‘Our main focus is the cyclical wave pattern that this market exhibits. We address the following questions: Why do we observe recurring surges and downfalls in M&A activity? Why do managers herd in their takeover decisions? Is takeover activity fueled by capital market developments? Does a transfer of control generate shareholder gains and do such gains differ across takeover waves? What caused the formation of conglomerate firms in the wave of the 1960s and their de- conglomeration in the 1980s and 1990s? And, why do we observe time- and country-clustering of hostile takeover activity? We find that the patterns of takeover activity and their profitability vary significantly across takeover waves. Despite such diversity, all waves still have some common factors: they are preceded by technological or industrial shocks, and occur in a positive economic and political environment, amidst rapid credit expansion and stock market booms. Takeovers towards the end of each wave are usually driven by non-rational, frequently self-interested managerial decision-making.’

US Merger Waves Since 1897 (Total Number of Deals)

  • The History and Economics of Safe Assets
    • ‘Historically, the quintessential safe asset was a gold coin. Such coins were imperfect in performing the role of a safe asset. Starting roughly in the 18th century certain types of debt came to prevalently serve as safe assets. Some government debt and some privately produced debt came to be used as safe assets. Safe assets perform a critical role in the economy and have implications for transactions and savings efficiency, financial crises, aggregate macroeconomic activity generally, and monetary policy.’
    • What about Bitcoin? Check out my article here.

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