British Investment Overseas 1870–1913: A Modern Portfolio Theory Approach*

Goetzmann, William N.; Ukhov, Andrey D.

doi:10.1007/s10679-006-8278-2

Cited by 87 publications

(62 citation statements)

References 28 publications

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“…The economic significance is similar in magnitude to the benefits from diversifying internationally by UK equity investors as reported in Goetzmann and Ukhov ().…”

supporting

confidence: 79%

Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework

Boudry

deRoos

Ukhov

2016

Real Estate Economics

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We study the diversification benefits of REIT preferred and common stock using a utility‐based framework in which investors segment based on risk aversion. We examine optimal mean‐variance portfolios of investors with different levels of risk aversion given access to different classes of assets and establish three main results. First, REIT common stock helps low risk aversion investors attain portfolios with higher returns, while REIT preferred stock helps high risk aversion investors by providing a venue for risk reduction. Second, REIT preferred stock has a risk‐return profile not easily replicated by other asset classes. Finally, conclusions drawn from the empirical analysis are markedly different under these constraints compared to the classical unconstrained setting.

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“…The economic significance is similar in magnitude to the benefits from diversifying internationally by UK equity investors as reported in Goetzmann and Ukhov ().…”

supporting

confidence: 79%

Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework

Boudry

deRoos

Ukhov

2016

Real Estate Economics

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“…Our optimization results for the whole period 1870–1913 are similar to those of Goetzmann and Uhkov and omit domestic railways in favour of foreign railways. Although we adopt a slightly different procedure from them, the non‐railway sector weights are also similar to those of the top three ranked portfolios in their constrained case; ‘British investment’, pp.…”

supporting

confidence: 60%

How good was the profitability of British railways, 1870-1912?

Mitchell

Chambers

Crafts

2010

The Economic History Review

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This paper provides new estimates of the return on capital employed (ROCE) for major British railway companies. It shows that ROCE was generally below the cost of capital after the mid-1870s and fell till the turn of the century. Addressing cost inefficiency issues could have restored ROCE to an adequate level in the late 1890s but not in 1910. Declines in ROCE hit share prices and investors made little or no money in real terms after 1897. Optimal portfolio analysis shows that, whilst railway securities were attractive to investors before this date, they would have been justified in rushing to the exits thereafter.We are indebted to Michael Edelstein for providing us with his data set and to the staff of the British Transport Commission Record Offices in London, Edinburgh and York for their generous help. Tony Arnold, Richard Grossman and Tim Leunig made helpful comments on an earlier draft. Hyun J. Im and Tugrul Vehbi provided valuable research assistance. We have also benefited from suggestions by seminar participants at American University, Washington DC., University of Birmingham, University College Dublin and the LSE Cliometrics Study Group. The normal disclaimer applies. 2The profitability of British railway companies in the later-Victorian and Edwardian period has been much discussed over the years. Recent contributions to the literature have described rates of return as 'disappointing' and indicative of management failures. 1The data recorded in the Railway Returns show declining rates of return on capital employed from the early 1870s. However, writers who take a more sympathetic view of railway management and profitability have pointed to constraints on management from actual or threatened regulation and have argued that the raw data on returns to capital are somewhat misleading.2 Everyone agrees with Cain that there was 'waste and inefficiency' on the British railway system but when, how much, and how far it was management's fault has been obscure.3 Similarly, although it is generally recognized that, at some point, the declining profitability of Britain's railways had adverse consequences for those who held their assets, the implications have not been spelt out clearly. 4 Finally, recent work has pointed to a rapidly rising contribution made by railways to national income even though their private profits declined. 5All this means that answering the question 'how good was railway profitability?' has several dimensions. The most obvious of these is to establish the profitability record at the individual company level, i.e., to measure profitability as carefully as possible taking proper account of the difficulties of the sources, especially with regard to nominal additions to paid-up capital. Beyond this, railway companies' profitability has to be evaluated against a number of criteria. These include addressing the following issues. First, to what extent could better management have delivered higher profitability? Second, was private profitability good enough to keep investors happy? Third, ...

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“…S2. On possible reasons for high levels of stock exchange development, see Morck, ed., History ; Goetzmann and Ukhov, ‘British investment’; Hautcoeur and Riva, ‘Paris’; Franks, Mayer, and Rossi, ‘Spending less time’; Foreman‐Peck and Hannah, ‘Extreme divorce’; Fohlin, Mobilizing money ; Campbell and Turner, ‘Substitutes’; Musacchio, Experiments ; Burhop, ‘Die Technik des Gründungsgeschäfts’.…”

mentioning

confidence: 99%

A global corporate census: publicly traded and close companies in 1910

Hannah

2014

The Economic History Review

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In 1910 the world had approaching a half-million corporations, only one-hundredth of today's total. About one-fifth, and over half of corporate capital, was publicly-tradable, higher portions than today. Most publicly-quoted corporations traded in Europe and the British Empire, but most close (private) corporations operated in the US, which, until the 1940s, had more corporations per capita than anywhere else. The 83 countries surveyed differed markedly in company numbers, corporate capital/GDP ratios and average corporate size. Enclave economies -dominated by quoted (and often foreign-owned) companies -had the largest average sizes, while other nations had more varied mixes of large quoted corporations and close company SMEs.We are grateful for comments on earlier versions to James Foreman-Peck, Chris Kobrak, Lyndon Moore, Viv Nelles, Jean-Laurent Rosenthal, Janette Rutterford, participants in seminars in Antwerp, Cambridge, Hong Kong, Paris, Seoul, Tokyo, Hitotsubashi and Yale and three anonymous referees. The plural authorial "we" honours the many national scholars who have advised on individual countries and are thanked in the online statistical appendix but errors are (singularly) mine alone.

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British Investment Overseas 1870–1913: A Modern Portfolio Theory Approach*

Cited by 87 publications

References 28 publications

Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework

Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework

How good was the profitability of British railways, 1870-1912?

A global corporate census: publicly traded and close companies in 1910

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