Southern Methodist University (SMU)
Cox School of Business
6212 Bishop Blvd
Dallas, TX 75275
Institutional Affiliation: Southern Methodist University
NBER Working Papers and Publications
|November 2015||Momentum in Imperial Russia|
with William Goetzmann: w21700
Some of the leading theories of momentum have different empirical predictions about its profitability conditional on market composition and structure. The overconfidence explanation provided by Daniel, Hirshleifer, and Subrahmanyam (1998), for example, predicts lower momentum profits in markets with more sophisticated investors. The information-based theory of Hong and Stein (1999) predicts lower momentum profits in markets with lower informational frictions. The institutional theory of Vayanos and Woolley (2013) predicts lower momentum profits in markets with less agency. In this paper, we use a dataset from a major 19th century equity market to test these predictions. Over this period, there was no evidence of delegated management in Imperial Russia. A regulatory change in 1893 mad...
Published: William Goetzmann & Simon Huaang, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, .