| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14500 |
| 来源ID | Working Paper 14500 |
| Price Momentum In Stocks: Insights From Victorian Age Data | |
| Benjamin Chabot; Eric Ghysels; Ravi Jagannathan | |
| 发表日期 | 2008-11-20 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We find that price momentum in stocks was a pervasive phenomenon during the Victorian age (1866-1907) as well. Momentum strategy profits have little systematic risk even at business cycle frequencies; disappear periodically only to reappear later; exhibit long run reversal; and are higher following up markets, suggesting limited availability of arbitrage capital relative to opportunities during those times. Since there were no capital gains taxes during the Victorian age, the long run reversal of momentum profits must have a fundamental component, that is unrelated to tax based trading, identified by Grinblatt and Moskowitz (2004) using CRSP era data. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14500 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572175 |
| 推荐引用方式 GB/T 7714 | Benjamin Chabot,Eric Ghysels,Ravi Jagannathan. Price Momentum In Stocks: Insights From Victorian Age Data. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14500.pdf（416KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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