Price Momentum In Stocks: Insights From Victorian Age Data / Benjamin Chabot, Eric Ghysels, Ravi Jagannathan.

Format:

Book

Author/Creator:

Chabot, Benjamin.

Contributor:

National Bureau of Economic Research.

Ghysels, Eric.

Jagannathan, Ravi.

Series:

Working Paper Series (National Bureau of Economic Research) no. w14500.

NBER working paper series no. w14500

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Price Momentum In Stocks

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2008.

Summary:

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.

Notes:

Print version record

November 2008.