Using a unique dataset, Qing Ye and I have looked at stock-market anomalies in the nineteenth-century London stock market. The study has just been published by the International Review of Financial Analysis (click here). The working paper version is available here. The paper's abstract is: Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama–MacBeth regressions, we find that stock characteristics such as beta, illiquidity, dividend yield, and past-year return performance are all positively correlated with stock returns. However, market capitalization and past-three-year return performance have no significant correlation with stock returns.