Momentum in Imperial Russia

NBER Working Paper No. 21700

Issued in November 2015

NBER Program(s):Asset Pricing



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.

Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w21700

Published: William Goetzmann & Simon Huaang, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, . citation courtesy of

Users who downloaded this paper also downloaded* these: