We study asset pricing over the longue durée using share prices and net dividends from the Bazacle company of Toulouse, the earliest documented shareholding corpo- ration. The data extend from the firm's foundation in 1372 to its nationalization in 1946. We find an average dividend yield of 5% per annum and near-zero long-term, real capital appreciation. Stationary dividends and stock prices enable us to directly study how prices relate to expected cash flows, without relying on a rate of return transformation. A reduced-form asset pricing model with persistent dividends and a time-varying risk correction is not rejected by the data.
asset pricing; history of finance; present-value tests;
Will Goetzmann, David Le Bris, and Sébastien Pouget, “The Present Value Relation Over Six Centuries: The Case of the Bazacle Company”, Journal of Financial Economics, vol. 132, n. 1, 2019, pp. 248–265.