Price Momentum In Stocks: Insights From Victorian Age Data

Benjamin Chabot, Eric Ghysels () and Ravi Jagannathan

No 14500, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We find that price momentum in stocks was a pervasive phenomenon during the Victorian age (1866-1907) as well. Momentum strategy profits have little systematic risk even at business cycle frequencies; disappear periodically only to reappear later; exhibit long run reversal; and are higher following up markets, suggesting limited availability of arbitrage capital relative to opportunities during those times. Since there were no capital gains taxes during the Victorian age, the long run reversal of momentum profits must have a fundamental component, that is unrelated to tax based trading, identified by Grinblatt and Moskowitz (2004) using CRSP era data.

JEL-codes: G1 G12 G14 (search for similar items in EconPapers)
Date: 2008-11
Note: AP
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