Momentum in Imperial Russia

William Goetzmann and Simon Huang

No 21700, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Some of the leading theories of momentum have different empirical predictions about its profitability conditional on market composition and structure. The overconfidence explanation provided by Daniel, Hirshleifer, and Subrahmanyam (1998), for example, predicts lower momentum profits in markets with more sophisticated investors. The information-based theory of Hong and Stein (1999) predicts lower momentum profits in markets with lower informational frictions. The institutional theory of Vayanos and Woolley (2013) predicts lower momentum profits in markets with less agency. In this paper, we use a dataset from a major 19th century equity market to test these predictions. Over this period, there was no evidence of delegated management in Imperial Russia. A regulatory change in 1893 made speculating on the St. Petersburg stock market more accessible to small investors. We find a momentum effect that is similar in magnitude to those in modern markets and stronger during the post-1893 period than during the pre-1893 period, consistent with the overconfidence theory of momentum.

JEL-codes: G10 G12 G14 G23 N2 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-cis and nep-his
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published as William Goetzmann & Simon Huaang, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, .

Downloads: (external link)
http://www.nber.org/papers/w21700.pdf (application/pdf)

Related works:
Journal Article: Momentum in Imperial Russia (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:21700

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w21700

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().