| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15591 |
| 来源ID | Working Paper 15591 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets | |
| Benjamin Chabot; Eric Ghysels; Ravi Jagannathan | |
| 发表日期 | 2009-12-17 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We evaluate the importance of "Limits to Arbitrage" to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our findings with a unique database of stock returns from1866-1907 London and the CRSP database. Momentum cycle durations are similar in both databases and all other momentum facts documented in the literature using the CRSP database hold for the Victorian period as well, except for the January reversal due to the absence of capital gains taxation. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15591 |
| 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/573267 |
| 推荐引用方式 GB/T 7714 | Benjamin Chabot,Eric Ghysels,Ravi Jagannathan. Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets. 2009. |
| 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 | ||
| w15591.pdf（460KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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