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Baltussen, G., van Vliet, B. and Van Vliet, P. (2026). The Cross-Section of Stock Returns before CRSP Journal of Financial and Quantitative Analysis.


  • Journal
    Journal of Financial and Quantitative Analysis

This study examines the cross-section of stock returns out-of-sample using a novel database of U.S. stocks between 1866 and 1926. Over this {\textquoteleft}pre-CRSP{\textquoteright} era (i) the relationship between market beta and returns is flat, (ii) value, momentum, low-risk, and seasonality factor premia are sizable and significant, and (iii) size, short-term reversal, and long-term reversal premia are weak. On average, the studied equity factor premia do not materially decay out-of-sample when unaffected by post-publication arbitrage. Additionally, we provide novel insights into economic explanations of factor premia over the combined pre-CRSP and CRSP {\textquoteleft}super{\textquoteright} sample covering 159 years of cross-sectional stock data.