Momentum in Imperial Russia

William Goetzmann and Simon Huang

Journal of Financial Economics, 2018, vol. 130, issue 3, 579-591

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 profits in markets with more sophisticated investors. 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 behavioral theories. We find evidence consistent with overreaction theories of momentum.

Keywords: Momentum; Behavioral finance; Capital flows; Return predictability (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 N23 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (12)

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Working Paper: Momentum in Imperial Russia (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:130:y:2018:i:3:p:579-591

DOI: 10.1016/j.jfineco.2018.07.008

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