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The cross-section of stock returns around the world in the early twentieth century

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

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.

Suggested Citation

  • Braggion, Fabio & Driessen, Joost & Moore, Lyndon, 2024. "The cross-section of stock returns around the world in the early twentieth century," CEPR Discussion Papers 18850, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:18850
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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