Momentum in Imperial Russia

• 成果类型: Article
• 署名作者: Goetzmann, William N.; Huang, Simon
• 署名单位: Yale University; University of Massachusetts System; University of Massachusetts Amherst
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.07.008
• 发表日期: 2018
• 页码: 579-591
• 关键词: momentum; behavioral finance; capital flows; Return predictability

摘要

Some of the leading theories of momentum have different empirical predictions that depend on market composition and structure. The institutional theory predicts lower momentum profits in markets with less agency. Behavioral theories predict lower profits in markets with more sophisticated investors. In this paper, we use a dataset from a major 19th century equity market to test these predictions. We find no evidence to support the institutional theory due to the lack of delegated management. We exploit a regulatory change in the middle of our sample period to test behavioral theories. We find evidence consistent with overreaction theories of momentum. (C) 2018 Elsevier B.V. All rights reserved.