Thanks to the available archives, we have share price and dividend data over most of a six century period during which the company operated on the bank of the Garonne river....Abstract via the National Bureau of Economic Research:
...These macroeconomic variables proxy for bad times and include plague, famine, war, and riot episodes.
We use the Bazacle company of Toulouse's unique historical experience as
a laboratory to test asset pricing theory. The Bazacle company is the
earliest documented shareholding corporation. Founded in 1372 and
nationalized in 1946, it was a grain milling firm for most of its 600
year history. We collect share prices and dividends over its entire
lifespan. The average dividend yield in real terms was slightly in
excess of is 5% per annum, while the long-term price growth was near
zero.
The
company's unique full-payout dividend policy allows us to estimate an
asset pricing model with fundamentally persistent dividends and a
time-varying risk correction. The model is not rejected by the data.
Variations in expected future dividends are found to explain between
one-sixth and one-third of variations in prices. Moreover, the risk
correction is correlated with macroeconomic shocks, in particular with
the volatility of grain prices.
HT: Levine@Bloomberg
Here's an ungated version from one of the authors, Toulouse School of Economics Finance Prof. Sébastien Pouget (49 page PDF)
