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Anomalies at any time in any place? Momentum, reversal and size around the world in the early twentieth century

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  • Braggion, Fabio
  • Driessen, Joost
  • Moore, Lyndon

Abstract

We study equity markets between 1900 and 1925 to provide a pure out-of-sample test of three major asset pricing anomalies: momentum, long-term reversal, and size. We find strong evidence of momentum in almost every market. Momentum is a local phenomenon, as the returns of momentum long-short portfolios have low correlations across markets. We find no evidence of long-term reversals or size effects. In fact, large stocks slightly outperform small stocks in most markets. The presence of momentum, combined with the absence of long-term reversals, indicates that underreaction should be considered as a key aspect of behavioral theories of momentum.

Suggested Citation

  • Braggion, Fabio & Driessen, Joost & Moore, Lyndon, 2023. "Anomalies at any time in any place? Momentum, reversal and size around the world in the early twentieth century," CEPR Discussion Papers 18196, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:18196
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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