Long-Run Equity Returns in a European Emerging Market: Madrid 1900-2020

Principal Investigator(s):  View help for Principal Investigator(s) Stefano Battilossi, Universidad Carlos III de Madrid; Stefan O. Houpt, Universidad Carlos III de Madrid; Miguel Artola Blanco, Universidad Carlos III de Madrid

Version:  View help for Version V1

Name File Type Size Last Modified
HIBEX_DATASET_annual_1900-2020.xls application/vnd.ms-excel 356.5 KB 02/22/2025 03:43:AM
HIBEX_DATASET_monthly_1900-2020.xls application/vnd.ms-excel 1.3 MB 02/22/2025 03:39:AM
README_HIBEX Dataset_List of Monthly and Annual Series.pdf application/pdf 644.2 KB 02/22/2025 04:06:AM

Project Citation: 

Battilossi, Stefano, Houpt, Stefan O., and Artola Blanco, Miguel. Long-Run Equity Returns in a European Emerging Market: Madrid 1900-2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-02-22. https://doi.org/10.3886/E220461V1

Project Description

Summary:  View help for Summary We study the long-run return on equities in the Madrid Stock Exchange from the early emergence of a stock market around 1900 to its “big bang” at the end of the 20th century. Using high-quality data from primary sources, we constructed an original monthly capital-weighted index, the H-IBEX, based on the same methodology of the modern IBEX35. Our historical index provides for the first time an accurate measure of the impact of the Spanish civil war on equity wealth. We also document the time-varying characteristics of market cycles and the magnitude, frequency and determinants of extreme events. Our index suggests that in the long run Spanish equities underperformed relative to global and European benchmarks in real terms, primarily due to persistent macroeconomic instability from the 1940s to the 1980s and a massive destruction of financial wealth in the transition from a closed to an open economy after the fall of the Francoist regime. For almost half century the Spanish equity market was virtually barred to foreign investors and offered limited attractiveness due to high exchange rate risk. After the macroeconomic stabilization and the stock exchange reforms of the late 1980s, Spanish equities offered high expected returns due to their high exposure to global factors, but yielded lower risk-adjusted returns and provided limited benefits of diversification due to their fast-rising correlation with foreign markets.
Funding Sources:  View help for Funding Sources Ministerio de Ciencia Innovación y Universidades (MICIU/ AEI/10.13039/501100011033) (PID2023-149319NB-I00)

Scope of Project

Subject Terms:  View help for Subject Terms asset pricing; stock market returns; stock market crashes; financial history; Spain
Geographic Coverage:  View help for Geographic Coverage Europe, Spain
Time Period(s):  View help for Time Period(s) 1900 – 2020
Data Type(s):  View help for Data Type(s) observational data


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V1 [2025-02-22]

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