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The Cross-Section of Stock Returns Around the World in the Early Twentieth Century

Author

Listed:
  • Fabio Braggion
  • Joost Driessen
  • Lyndon Moore

Abstract

We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of some major asset pricing anomalies during a period in which anomalies had not been documented. We find strong evidence of momentum in almost every market. We find no evidence of long-term reversals, which, coupled with the limited presence of institutional investors, suggests that underreaction should be considered as a key aspect of behavioral theories of momentum. We also find evidence for the size effect, betting-against-beta, and the outperformance of low volatility stocks, whereas we find mixed evidence of short-term reversal. (JEL G12, G15, N20)

Suggested Citation

  • Fabio Braggion & Joost Driessen & Lyndon Moore, 2025. "The Cross-Section of Stock Returns Around the World in the Early Twentieth Century," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 15(1), pages 46-73.
    • Handle: RePEc:oup:rasset:v:15:y:2025:i:1:p:46-73.
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    File URL: http://hdl.handle.net/10.1093/rapstu/raae014
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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