Momentum in Imperial Russia

Journal of Financial Economics, Forthcoming

38 Pages Posted: 23 Sep 2015 Last revised: 9 Aug 2018

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Simon Huang

University of Massachusetts Amherst - Isenberg School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: August 8, 2018

Abstract

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 momentum profits in markets with more sophisticated investors. One risk-based theory predicts occasional momentum crashes. 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 behavior theories. We find evidence consistent with overreaction theories of momentum. We find no evidence to support a rare disaster theory.

Keywords: Momentum, behavioral finance, capital flows, return predictability

JEL Classification: G12, G14, G23, N2

Suggested Citation

Goetzmann, William N. and Huang, Simon, Momentum in Imperial Russia (August 8, 2018). Journal of Financial Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2663482 or http://dx.doi.org/10.2139/ssrn.2663482

William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
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203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Simon Huang (Contact Author)

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States

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