NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Simon Huang

Southern Methodist University (SMU)
Cox School of Business
6212 Bishop Blvd
Dallas, TX 75275

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Institutional Affiliation: Southern Methodist University

NBER Working Papers and Publications

November 2015Momentum 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, .

 
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