Research Jan Annaert

Abstract

Long-term digital economic data are mainly available at the macro level for Flanders and Belgium. However, new research questions require microdata that are only available in printed form. To make microdata on firms available in computer-readable form, research groups from the universities of Antwerp and Ghent are joining forces. Belgium has a long tradition of publishing essential data on companies in the Appendices to the Belgian Official Gazette since 1873. In addition, excellent reference works were compiled at the time for the benefit of investors. These sources contain a wealth of information on companies: date of incorporation, (successive) company names, addresses, names (and addresses) of directors and shareholders, balance sheets and profit and loss accounts, securities portfolios, information on capital increases, dividend and interest payments, relations between companies (participation in cartels, (de)mergers, spin-offs, ...). The research infrastructure "BelHisFirm: long-term business data for the social sciences" will bring all these microdata together in a database and make tools for the visualisation and analysis of the data available to researchers. BelHisFirm will thus enable, among other things, pioneering research on long-term trends in corporate finance, wealth inequality and the economic and financial impact of (de)colonisation.

Researcher(s)

• Promoter: Annaert Jan
• Co-promoter: Cassimon Danny
• Co-promoter: Deloof Marc
• Co-promoter: Gelderblom Oscar
• Co-promoter: Poukens Johan
• Co-promoter: Verbist Gerlinde

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The importance of Congo for Belgian companies and investors is well known. Huge profits were earned in the colony, but the beneficiaries of these cashflows are still largely unknown to us. This project will therefore map the owners of colonial enterprises. We will produce a dataset of the shareholders of companies active in Congo and of the asset portfolios of colonial holding companies, the cornerstone of the colonial economy.

Researcher(s)

• Promoter: Annaert Jan
• Co-promoter: Poukens Johan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

ARCHIE.BEL proposes a collaboration between the Belgian State Archives (BSA) and the Research Centre for Enterprises and Stock Exchanges (SCOB). The former is the principal repository for business archives in Belgium, the latter an interdisciplinary research centre for economic and financial history at the University of Antwerp's Faculty of Business and Economics. Together, they will facilitate and perform research in the economic and financial history of Belgium by (1) improving access to important archives and records for economic history, (2) collecting and sharing long-term data on Belgian companies and stock exchanges with state-of-the-art techniques and (3) shedding light on the interactions between financial and economic development through the lens of history. More specifically, the first objective of ARCHIE.BEL will involve the transfer of business and business related archives from SCOB to BSA. These include, amongst others, the historical archives of the two principal Belgian stock exchanges, Brussels and Antwerp. They will be catalogued (i.e. arranged and described) according to international standards for archival description. Together with them being preserved in a publicly accessible archival repository, the availability on inventories will greatly improve their accessibility for researchers (including master's and PhD students in economics and economic history). ARCHIE.BEL's second objective will do the same for the historical data that has been collected to-date by SCOB. This includes data on all securities that have been listed on the aforementioned stock exchanges since the beginning of the 19th century (monthly prices, dividends, interest payments, corporate events, ...) as well as data on their issuers. It will, on the one hand, consolidate SCOB's past efforts in this area by implementing a public (online) interface for browsing, querying and downloading data. On the other hand, it will ensure the continued expansion of the SCOB research infrastructure by implementing a NoSQL database (Wikibase) that enhances its extensibility, and, add new types of data, starting with information on governance and ownership, with innovative data extraction technologies developed within the EU Horizon2020 research infrastructure project EURHISFIRM. Finally (third objective), ARCHIE.BEL will leverage these source documents and data for historical research on the microstructure of the stock markets in Brussels and Antwerp and the financial intermediaries (brokers, dealers, bankers) that were active on these markets.

Researcher(s)

• Promoter: Annaert Jan
• Fellow: Poukens Johan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

This project establishes a proof of concept for EurHisCom, a European-wide project that aims to bring together infrastructures and data on companies over the long run and to ensure their connection and joint development among other things. These company data comprise security price information, accounting information, information on management boards and teams as well as shareholders and participations. It is crucial that not only these data are made available, but also that the databases can be linked with each other, across (sub-)disciplines (e.g., price information versus accounting data) and countries. Currently, databases with security level information are best developed and the SCOB database (U Antwerp) has set the stage and is used as model for similar initiatives in other European countries. In this project, we would like to safeguard SCOB's pioneering role by adding databases covering (1) accounting information; (2) management boards; (3) participations and shareholders for Belgian listed firms (1893-1975) to build a "BelHisCom" that can serve as a proof of concept for the European project to be resubmitted. The post-1975 data is currently relatively easy to access from existing databases. Besides building these databases, we will also develop the metadata, documentation and user manuals in accordance with the standards proposed in EurHisFirm, another Horizon 2020 Project that is currently finalizing its design phase. To demonstrate the interoperability of the databases and the academic research potential, we will also initiate a small research project. More specifically, we link the databases to the French database on security prices (DFIH) in order to document the evolution of cross-listings on the Brussels and Paris stock exchanges and to study price formation of these securities. All the source information necessary for constructing the databases is already identified and available. In addition, the SCOB software is developed to create the databases and server capacity is sufficient to store and manipulate the data. A large part of the funding of this project will therefore be used to digitalize the material. This involves predominantly the hiring of job students for inputting data as well as buying portables to facilitate this. By being able to build this "BelHisCom" complex of databases, we demonstrate that the design that is proposed for the European project is realistic and worthwhile for extrapolation. By also performing preliminary research on the intersection of several databases we illustrate the potential of having an integrated research infrastructure to start up cross-border interdisciplinary research.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

Corporate debt maturity is a basic concept in corporate finance that determines when cash flows are paid out to debt holders. While corporate bonds are increasing in size worldwide since the late 1990s we still know very little as to what exactly determines the corporate debt maturity choice. In order to enhance our understanding of corporate debt maturity, we go back in time to pre-WW1 Belgium, a time when corporate bonds took on a significant part of corporate balance sheets for the first time.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

I propose to research how the European approach to sustainable investing merges financial goals with altruistic goals to achieve best outcomes. A Fulbright grant to study in Belgium will give me critical access to the policymakers (European Commission), think tanks (European Sustainable Investment Forum or Eurosif), and asset managers (Candriam, Robeco, Amundi, etc.) who are leading voices in the field of sustainable investing. Further, I am confident my affiliation with a strong group of academics at the University of Antwerp will provide me with the advice, care, and partnership I will need to bring this research to fruition. Sustainability -- in particular, climate change -- has become a critical global issue. Any solution to this problem will require vast sums of investment. My research will shed light on how investments can best be deployed to achieve financial outcomes, but also create positive impact for the environment. Having become increasingly jaded by traditional, profitonly oriented capitalism, this research is personally important to me. I plan to use this research in my doctoral dissertation, and upon graduation I will use this knowledge as a platform to raise awareness and to re-enter the field of asset management with new focus and vigor.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The most important financing sources for a firm are equity and debt. Equity consists of stocks that pay a variable dividend, while debt consists of loans that pay a predetermined interest. Many loans are bonds sold by the firm to outside investors and traded on a financial market. Despite the economic importance of corporate bonds, we still know little about (a) what determines the return of bonds for investors, and (b) when and why firms use bonds as a source of financing. In my dissertation, I will use a unique, newly constructed dataset of Belgian corporate bonds that spans the period 1873-1940 to investigate corporate bond returns and corporate bond financing. There is currently only limited evidence on the determinants of corporate bond returns, and all of this evidence is mostly based on one recent dataset, for the U.S. This raises the question whether the results found for this dataset hold in other environments. The highly-developed Belgian bond market in the period considered and the high quality of data enables me to test this in a unique way. By studying a period in which financial markets were almost completely unregulated by the state, I can also investigate how firms convince investors to buy bonds when there are no specific laws to protect them and how firms used debt contracts to protect investors and how this affected bond pricing. Additionally, I investigate how the voluntary disclosure of information to investors influenced bond pricing and riskiness.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan
• Fellow: Van Mencxel Kevin

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

EURHISFIRM designs a world-class research infrastructure (RI) to connect, collect, collate, align, and share detailed, reliable, and standardized long-term financial, governance, and geographical data on European companies. EURHISFIRM enables researchers, policymakers, and other stakeholders to develop and evaluate effective strategies to promote investment, economic growth and job creation. The RI provides the tools for long-term analysis highlighting the dynamics of the past and the way those dynamics structure our present and future. A few large stand-alone long-term databases have been built in Europe so far, while important resources have been invested into scattered and dispersed historical datasets. EURHISFIRM develops innovative models and technologies to spark a "Big data" revolution in historical social sciences and valorize Europe's cultural heritage. These technologies match and collate historical data, and connect them to recent ones. They bring the next generation of data extraction and enrichment systems from digitized historical sources and web-based resources. The scaling up in the variety, quantity and quality of long-term data changes the way of conducting scientific enquiry in the historical social sciences. EURHISFIRM constitutes a vibrant and large users' community around the innovative data and services provided. The 2016 ESFRI Roadmap identifies Big Data, interdisciplinarity and innovative ways to disseminate research products as the main science drivers for RIs in the Social Sciences and Humanities. It recognizes the need and the opportunity for RIs providing access to the European Cultural Heritage and innovative methods to analyze and integrate information extracted to broad communities. EURHISFIRM fulfills this mission in close cooperation with ESFRI Landmark CESSDA and other existing RIs in the field of Arts and Humanities, like DARIAH, within the Research Data Alliance.

Researcher(s)

• Promoter: Annaert Jan
• Co-promoter: Deloof Marc

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

In this project, I will describe the dividend policy of Belgian firms during the period 1832-2012. I will focus on firms listed on the Brussels Stock Exchange during this period. Data is available from the SCOB-database. In a first part, I investigate the evolution of dividend policy over the period 1832-2012, which was characterized by major institutional, regulatory and tax changes, such as the introduction of taxes on dividends, the abolishment of multiple voting shares, the split-up of universal banks etc. My long-term perspective allows investigating how such changes affect dividend policy. Next, I investigate the evolution of cross-sectional determinants of dividend policy.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan
• Fellow: Moortgat Leentje

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

We use a unique Belgian stock and bond return dataset covering almost two centuries to investigate the predictability of stock returns and dividend growth, taking into account economic and institutional factors. We will first investigate whether the dividend yield predicts stock market returns and/or dividend growth and whether the strength of these relations are linked to the institutional and economic environment. Secondly, we will focus on the monetary and interest rate environment to study their impact on the predictability of stock and bond returns.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan
• Fellow: Verdickt Gertjan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

In this project, I will describe the dividend policy of Belgian firms during the period 1832-2012. I will focus on firms listed on the Brussels Stock Exchange during this period. Data is available from the SCOB-database. In a first part, I investigate the evolution of dividend policy over the period 1832-2012, which was characterized by major institutional, regulatory and tax changes, such as the introduction of taxes on dividends, the abolishment of multiple voting shares, the split-up of universal banks etc. My long-term perspective allows investigating how such changes affect dividend policy. Next, I investigate the evolution of cross-sectional determinants of dividend policy.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan
• Fellow: Moortgat Leentje

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

This project represents a formal research agreement between UA and on the other hand the client. UA provides the client research results mentioned in the title of the project under the conditions as stipulated in this contract.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The empirical literature finds that dividend policy differs greatly across firms and changes slowly through time. Dividends seem to contain information about average stock returns, and aggregate dividend yields predict future market returns. However, there is no consensus about the explanation for these empirical regularities, nor even about their universal existence. In the literature it has been conjectured that slowly changing institutional factors are at least partly responsible for the relations and their strength. By using an unique, available dataset covering the full Belgian stock market since 1832, we are able to investigate the patterns described above over a 180 years period. Moreover, we can relate them to the underlying institutional setting. We can also test the impact of changing dividend policy on the relation between dividends and stock returns, as well as on the value of the aggregate dividend yield as a predictor for stock market returns. Firstly, we document patterns in dividend policy through time and relate them to changes in dividend taxes and institutional changes. Secondly, we study determinants of dividend policy across firms including measures of taxes, agency-conflicts, asymmetric information and liquidity. Thirdly, we link dividend yields to returns across firms, taking into account the changing patterns in dividend policy and its determinants. Finally, we relate the predictive strength of the dividend yield for market returns to these factors.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The objective of the project is to develop an estimation method voor the real term structure • to obtain an estimate of the zero-coupon real interest rates • build a real yield curve across the maturity spectrum • to compare it with the nominal term structure and derive the inflation compensation - often defined as the break-even inflation rate - requested by market participants to hold index-linked bonds, a proxy of their expectations of inflation. • this estimation procedure should be easy to update (on a monthly basis as a minimum)

Researcher(s)

• Promoter: Annaert Jan
• Co-promoter: De Ceuster Marc

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

This project represents a formal research agreement between UA and on the other hand l'Ecole d'Economie de Paris. UA provides l'Ecole d'Economie de Paris research results mentioned in the title of the project under the conditions as stipulated in this contract.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

This project represents research between the UA and a private institution. UA provides the private institution the research results named in the title of the project.

Researcher(s)

• Promoter: Annaert Jan
• Co-promoter: De Ceuster Marc

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

We investigate long run investment returns for stocks, government bonds and cash. Our analysis is based on a (worldwide) unique database which covers all securities ever listed on the Brussels Exchange / Euronext Brussels in the period 1838-2010. We construct new, value weighted return indices for government bonds and analyze the equity risk premium and term premium.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The Brussels stock exchange was one of the top ten most important stock exchanges in the world in the 19th and early 20th centuries. Companies from all sectors (railways, coal mines, zinc companies, metal, glass, banks, electricity companies etc.) were listed on it. Moreover, the Brussels Stock Exchange was very internationally oriented before the First World War with many shares, government bonds and corporate bonds from goverments and companies all over the world (or Belgian companies operating abroad). We examine the returns of all the Brussels Stock Exchange listed Belgian corporate bonds for the period 1832-2010 using quotes, numbers and all the characteristics of these corporate bonds (interest, valuation, the duration, the issuing price, the IPO price on the stock exchange, additional conditions (call / put), and reimbursement conditions (amount, repayment facilities). At the same time we calculate the risk premium and compare it to the equity premium. Our sample includes 1270 corporate bonds. Because we have such a unique and very long time series it will allow us to make valid econometric conclusions (given the volatility). This research is important both for investors and companies. Investors have many opportunities for investments. A wide range of alternatives is available with perhaps the most famous among them investments in equities, government bonds or holding cash. In the international literature, these three are traditionally the subject of many inquiries. But there is another investment opportunity, viz. corporate bonds. Our research will inform investors exactly on the difference between such investments. The question can also be viewed from a different perspective, particularly from the financial policy of a company. Is it without importance for a company to finance her activities with share capital or bonds or is one of them more attractive? This seems to be an important question for financial management. Lacking international studies, our research can help in providing a detailed account on the risk premium.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

This project studies CDS spreads of internationally active credit institutions. It investigates their determinants and how they can be used as input to the prudential authorities.

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

Researcher(s)

• Promoter: De Ceuster Marc
• Co-promoter: Annaert Jan
• Co-promoter: De Schepper Ann

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

The project has practical objectives and aims at calculating a "BEL-20 index" (capital gain as well as total return index) for the period 1832-2005 for the Brussels Stock Exchange. These indices will be compared with returns calculated for the risk free rate, for the banking sector, for the all share index and other portfolios of the Brussels Stock Exchange for the same period. By doing so a brand new benchmark will be available for a long historical period.

Researcher(s)

• Promoter: Cuyvers Ludo
• Co-promoter: Annaert Jan
• Co-promoter: De Ceuster Marc
• Co-promoter: Deloof Marc
• Co-promoter: De Smedt Helma
• Co-promoter: Devos Greta
• Co-promoter: Paredaens Jan

Research team(s)

Project type(s)

• Research Project

Abstract

What determines the financing and dividend policies of firms? To what extent do these policies affect firm value? Over de past decaded, these research questions have been studied intensively. Studies so far, howevr, have largely analyzed corporate financing and dividend policies over very short time periods, and in a single country context, mainly focussing on the United States.

Researcher(s)

• Promoter: Deloof Marc
• Co-promoter: Annaert Jan
• Co-promoter: De Ceuster Marc

Research team(s)

• Accountancy and Finance

Project type(s)

• Research Project

Abstract

Researcher(s)

• Promoter: De Ceuster Marc
• Co-promoter: Annaert Jan

Research team(s)

Project type(s)

• Research Project

Abstract

Researcher(s)

• Promoter: Annaert Jan

Research team(s)

Project type(s)

• Research Project

Abstract

The succes of a mutual fund depends mainly on the ability of that fund to generate inflows and prevent outflows. By analysing the flows from and to mutual funds, we are able to identify the determinants of these flows, and consequently the succes of a fund(or funds). Besides, we can gain insight into the factors which influence the investment decision of mutual fund investors. In a second stage of the research, the interaction of mutual fund flows and security markets can be investigated as well.

Researcher(s)

• Promoter: Deweirdt Edward
• Co-promoter: Annaert Jan

Research team(s)

Project type(s)

• Research Project

Abstract

This project will study credit spreads for the European bond market. As well the coherence of different spreads as theis time series behaviou will be examined.

Researcher(s)

• Promoter: De Ceuster Marc
• Co-promoter: Annaert Jan

Research team(s)

Project type(s)

• Research Project

Abstract

The project aims to cataloguise company specific information and digitise price information contained in the archive of the BSE. Furthermore, empirical finance research and historical research will be initiated based on this database.

Researcher(s)

• Promoter: Cuyvers Ludo
• Co-promoter: Annaert Jan
• Co-promoter: De Ceuster Marc
• Co-promoter: De Smedt Helma
• Co-promoter: Devos Greta
• Co-promoter: Paredaens Jan

Research team(s)

Project type(s)

• Research Project

Abstract

It will be investigated whether it makes sense for the central bank to use financial asset prices as policy indicators to predict inflation, growth, and unemployment, the three main final targets. A game theoretic framework is used to illustrate the importance of asset prices for policy purposes. A review of the literature will provide an assesment of existing research. Empirical work will contribute to estimating various combinations of the relation between indicators and final targets.

Researcher(s)

• Promoter: De Ceuster Marc
• Co-promoter: Annaert Jan
• Co-promoter: Plasmans Joseph
• Fellow: Valckx Nico

Research team(s)

Project type(s)

• Research Project