The Review of Asset Pricing Studies Vol. 15 No. 1 2025
The Cross-Section of Stock Returns Around the World in the Early Twentieth Century
open access
Abstract
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.
- DOI
- 10.1093/rapstu/raae014
- Volume
- 15
- Issue
- 1
- Pages
- 46-73
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref