The Belle-Epoque of Portfolios? How Returns, Risk, and Diversification Correlated with the Wealth Distribution in Paris in 1912

• 成果类型: Article
• 署名作者: Universite PSL; Ecole Normale Superieure (ENS)
• 刊物名称: JOURNAL OF ECONOMIC HISTORY
• ISSN/ISSBN: 0022-0507
• DOI: 10.1017/S0022050724000354
• 发表日期: 2024
• 页码: 767-806
• 关键词: financial diversification; COMPETITION; MARKET

摘要

I reconstruct the historical performance of individual portfolios owned by Parisian investors during the French Belle-Epoque, which was characterized by a massive concentration of wealth. Using the value of inherited bequests as a proxy for ex ante wealth, I show that wealthier investors not only exhibited greater betas and thus benefited from the bull market, but also captured positive alphas, which translated into greater Sharpe ratios. Their performance was enhanced by diversification tilted toward equity and foreign assets. I identify heterogeneity in returns as a significant driver of the rise of wealth inequalities during the Belle-Epoque.