The cross-section of stock returns around the world in the early twentieth century

Fabio Braggion, Joost Driessen and Lyndon Moore

No 18850, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of some major asset pricing anomalies during a period in which anomalies had not been documented. We find strong evidence of momentum in almost every market. We find no evidence of long-term reversals, which, coupled with the limited presence of institutional investors, suggests that underreaction should be considered as a key aspect of behavioral theories of momentum. We also find evidence for the size effect, betting-against-beta, and the outperformance of low volatility stocks, whereas we find mixed evidence of short-term reversal.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2024-02
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