| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w21700
|
| 来源ID | Working Paper 21700
|
| Momentum in Imperial Russia |
| William Goetzmann; Simon Huang
|
| 发表日期 | 2015-11-09
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | 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 made speculating on the St. Petersburg stock market more accessible to small investors. We find a momentum effect that is similar in magnitude to those in modern markets and stronger during the post-1893 period than during the pre-1893 period, consistent with the overconfidence theory of momentum. |
| 主题 | Financial Economics
; Financial Markets
; Portfolio Selection and Asset Pricing
; Financial Institutions
; History
; Financial History
|
| URL | https://www.nber.org/papers/w21700
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
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| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579375
|
推荐引用方式
GB/T 7714 |
William Goetzmann,Simon Huang. Momentum in Imperial Russia. 2015.
|
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