Data on Brussels Stock Exchange from Antwerp’s SCOB database were used to investigate if stock returns have any relationship with variables, such as size, beta, dividend yield, and risks. The sample covered periods of 1873 to 1914. Using Fama-MacBeth regression model, the study finds that average stock returns have no relationship with size, risk, and beta, but establishes weak relationship between dividend yield and stock
returns. The study finds strong momentum in the sample data. The results provide some very important implications to investors and policy makers. First, the findings show that momentum returns strategies become more profitable during distressed periods than during up- performs even better in sound economic periods. Second, from the sample studies, the largest firms yielded the highest returns. Third, the findings indicate that data mining does not determine return continuation, since the sample data periods were outside the range of 1990’s when price momentum concept was first introduced and tested. Despite such important contributions, the study lacks external validity. The results found in the Brussels stock market
may not be repeatable in other markets around the world. The recommendation for the future research is to look into the study to see whether risk or behavioral approach better explains the average stock returns.
Data from Standard & Poor’s Emerging Market Database (EMBD) were used to investigate how foreign