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Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets / Benjamin Chabot, Eric Ghysels, Ravi Jagannathan.
- Format:
- Book
- Author/Creator:
- Chabot, Benjamin.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15591.
- NBER working paper series no. w15591
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- We evaluate the importance of "Limits to Arbitrage" to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our findings with a unique database of stock returns from1866-1907 London and the CRSP database. Momentum cycle durations are similar in both databases and all other momentum facts documented in the literature using the CRSP database hold for the Victorian period as well, except for the January reversal due to the absence of capital gains taxation.
- Notes:
- Print version record
- December 2009.
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