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.

中文翻译：

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长期债券？比利时公司债券的回报率，1838 年至 1939 年

我们通过编制一个独特的新数据库来调查 1838 年至 1939 年期间的公司债券回报，其中包含 201 000 份布鲁塞尔证券交易所交易债券的月度观察数据。扣除息票违约和税收后，价值加权年化总回报率名义值为 4.35%，实际值为 2.81%。平均回报率的估计表明，在整个 19 世纪，公司债券的表现优于股票。我们发现，在公司债券市场第一个百年期间，基于夏普比率的公司债券的风险调整表现超过了股票和主权债券。