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¹¹ For the US, see for example Ibbotson, R. R. and Sinquefield, R. A., ‘Stocks, bonds, bills and inflation: simulations of the future 1976-2000’, Journal of Business, 49.3 (1976), pp. 11-47CrossRefGoogle Scholar; or Siegel, J., ‘The equity premium: stock and bond returns since 1802’, Financial Analysts Journal, 48.1 (1992), pp. 28-38CrossRefGoogle Scholar.

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¹⁴ Free float would in theory be a superior alternative, but the amount of the free float cannot be reconstituted until that information started to be published in 2003 for Euronext's CAC-40.

¹⁵ Daumard, A. (ed.), Les fortunes privées au XIXe siècle (Paris, 1973)CrossRefGoogle Scholar, provides information on portfolios held at death.

¹⁶ See e.g. Barça, F. and Becht, M. (eds.), The Control of Corporate Europe (Oxford, 2001)Google Scholar; or Chandler, A. D., Scale and Scope, the Dynamics of Industrial Capitalism (Cambridge, MA, 1990)Google Scholar. British corporations may have had a more diversified ownership, see Franks, J., Mayer, C. and Rossi, S., ‘Ownership: evolution and regulation’, Review of Financial Studies, 22 (October 2009), pp. 4009-56CrossRefGoogle Scholar.

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²³ Early cases are Crédit mobilier (1867), Union Générale (1882), Comptoir d'Escompte de Paris, Société Industrielle des Métaux and the Panama canal (1889). More recent ‘quasi-bankruptcies’ are Eurotunnel, Euro Disneyland, or Crédit Foncier de France.

²⁴ Hautcoeur, P.-C. (ed.), Le marché financier français au 19e siècle, Récit (Paris, 2007)Google Scholar; see Courtois, A., Des opérations de bourse (Paris, 1855)Google Scholar, for an early and frequently reprinted publication on listed firms.

²⁵ The only well-known firm that is excluded during a period because of that requirement is Saint Gobain, which is number 34 by capitalisation in 1858 (a rank that increases later) but with only 4,364 shares (each priced at 33,000 francs, or some 100,000 euros in today's money). One insurance company excluded up until the 1860s is Assurances Nationales Incendie (only 2,000 shares,).

²⁶ For more details, see Hautcoeur, P.-C., ‘Asymétries d'information, coûts de mandat et financement des entreprises françaises (1890-1936)’, Revue Economique, 50.5 (1999), pp. 1053-87Google Scholar.

²⁷ The very existence of this method probably modifies the behaviour of today's firms, making them eliminate special shares to improve the likelihood of access to the CAC-40 and the visibility that would give them. This was not the case in the past, but we still prefer to maintain that method for the sake of continuity.

²⁸ Furthermore, this exclusion balances the fact that 40 per cent of the capital of Suez was owned by the British government and was thus not free float.

²⁹ The Coulisse, or ‘marché en banque’, was developed outside the regulated Bourse during the nineteenth century. It was partly legalised from 1893 on. See P.-C. Hautcoeur and A. Riva, ‘The Paris financial market in the 19th century: an efficient multi-polar organisation?’, working paper, Paris School of Economics, no. 31, 2007, and Pollin, E., ‘La Coulisse’, in Gallais-Hamonno, G. (ed.), Le marché financier français au 19e siècle, Aspects quantitatifs des acteurs et des instruments à la Bourse de Paris (Paris, 2007)Google Scholar.

³⁰ These counts may not be exhaustive since some more shares could be traded on the Coulisse, provincial Bourses or OTC markets without being mentioned in journals, but they were marginal and could not modify our results, in particular the list of the forty major stocks.

³¹ Friday was chosen because it does not correspond to settlement periods (forward operations were settled every 15 days or every month depending on the moment during our period), and because weekly periodicals, usually published on Saturday, gave Friday prices.

³² E.g. Goetzmann et al., ‘A new historical database for the NYSE’.

³³ P.-C. Hautcoeur and M. Petit, ‘The development of the Paris Bourse in the interwar period what old and new stock indices tell us’, working paper, Delta no. 18, 2004; Petit, M., ‘Inventaire des séries de données historiques du projet Old Paris Stock Exchange 1919-1939’, Economies et Sociétés, 40.8 (2006), pp. 1089-119Google Scholar, provide an original index for the interwar period, with a methodology similar to ours. It includes 30 blue chips, with a slightly more conservative selection procedure since shares are chosen only if they remain at least four years among the biggest capitalisations of the Bourse. This may explain why it features somewhat more fluctuations.

³⁴ Gallais-Hamonno and Arbulu, ‘Rentabilité réelle’; Jorion, P. and Goetzmann, W., ‘Global stock market in the 20th century’, Journal of Finance 54.3 (1999), pp. 953-80CrossRefGoogle Scholar; Dimson et al., Triumph of the Optimists; Société des Nations, Annuaire statistique de la société des nations (Geneva, 1939)Google Scholar.

³⁵ Hautcoeur, ‘Why and how to measure’.

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³⁷ Arbulu, Marché parisien des actions, 1998, p. 132; Arbulu, P., ‘Le marché parisien des actions au XIXe siècle’, in Gallais-Hamonno, G. (ed.), Le marché financier français au XIXe siècle, aspects quantitatifs (Paris, 2007), pp. 365-457, p. 424Google Scholar.

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⁴³ A comparison of the performances of our CAC-40 and the SGF-INSEE-Arbulu index shows that the latter significantly over-performed the former in all decades but one since 1854.

⁴⁴ Formal tests of the official CAC-40 and ours being identical between 1988 and 1997 give the following results: for equal kurtosis 124.46 (< 144.35 as X²critical value at 5 per cent); for equal skewness 20.88 (< 144.35 as X²critical value at 5 per cent); for equal distributions 20.45 (<36.41 as X²critical value 5 per cent).

⁴⁵ This test does not suppose a Gaussian distribution (see below): we distribute the variations in classes by quarter of standard deviation, which allows us to compare the distributions directly.

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⁵⁴ Some of the prices for gold used here are measured on the black market, since at some periods there was no free market for gold in France. This may affect their reliability on the short run, and the volatility observed.

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⁵⁶ Jorion and Goetzmann, ‘Global stock markets’.

⁵⁷ The US index used here is broader than ours, which may partly explain a higher return and volatility, but the difference is too big to be explained entirely by that fact.

⁵⁸ D. Le Bris, ‘Why did French investors buy foreign assets before World War One?’, working paper, 2008.

⁵⁹ P.-C. Hautcoeur and S. Grottard, ‘Taxation of corporate profits, inflation and income distribution in France, 1914-1926’, working paper, Delta, 2001.

⁶⁰ On the creation of profit taxation in France and the problems in measuring its impact in an inflationary period, see Hautcoeur and Grottard, ‘Taxation of corporate profit’; on the taxation level in France in the twentieth century, see Piketty, Th., Les hauts revenus en France au XXe siècle (Paris, 2001)Google Scholar.

⁶¹ Minima were reached in 1951 (1.82 per cent) and 1983 (2.18 per cent). The 1882 maximum of 36 per cent for the CAC-40 was reached again in 1998.

⁶² Goetzmann, ‘Will history rhyme’.

⁶³ For example, see Smither, A. and Wright, S., Valuing Wall Street: Protecting Wealth in Turbulent Markets (New York, 2000)Google Scholar.