Abstract

http://ssrn.com/abstract=2292544
 
 

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212 Years of Price Momentum (The World's Longest Backtest: 1801-2012)


Christopher Geczy


University of Pennsylvania - The Wharton School, Finance Department

Mikhail Samonov


Forefront Analytics

August 1, 2013


Abstract:     
We assemble a dataset of U.S. security prices between 1801 and 1926 and create an out-of-sample test of the price momentum strategy, discovered in the post-1927 data. The pre-1927 momentum profits remain positive and statistically significant. Additional time series data strengthen the evidence that momentum is dynamically exposed to market beta, conditional on the sign and duration of the tailing market state. In the beginning of each market state, momentum’s beta is opposite from the new market direction, generating a negative contribution to momentum profits around market turning points. A dynamically hedged momentum strategy significantly outperforms the un-hedged strategy.

Number of Pages in PDF File: 46

Keywords: Price Momentum, Early Security Prices, Market States, Price Reversal, Hedging

JEL Classification: G12, G14

working papers series


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Date posted: July 12, 2013 ; Last revised: August 1, 2013

Suggested Citation

Geczy, Christopher and Samonov, Mikhail, 212 Years of Price Momentum (The World's Longest Backtest: 1801-2012) (August 1, 2013). Available at SSRN: http://ssrn.com/abstract=2292544 or http://dx.doi.org/10.2139/ssrn.2292544

Contact Information

Christopher Charles Geczy
University of Pennsylvania - The Wharton School, Finance Department ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
(215) 898-1698 (Phone)
(215) 898-6200 (Fax)
Mikhail Samonov (Contact Author)
Forefront Analytics ( email )
100 Front St
West Conshohocken, PA 19428
United States
8189163640 (Phone)
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