We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of some major asset pricing anomalies during a period in which anomalies had not been documented. We find strong evidence of momentum in almost every market. We find no evidence of long-term reversals, which, coupled with the limited presence of institutional investors, suggests that underreaction should be considered as a key aspect of behavioral theories of momentum. We also find evidence for the size effect, betting-against-beta, and the outperformance of low volatility stocks, whereas we find mixed evidence of short-term reversal.

behavior is presented in

William J. Moore, John Raisian, Union-Nonunion Wage Differentials in the Public Administration, Educational, and Private Sectors: 1970-1983, The Review of Economics and Statistics, Vol. 69, No. 4 (Nov., 1987), pp. 608-616