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Anomalies at any time in any place? Momentum, reversal, and size around the world in the early twentieth century
CEPR
2024.02.21
We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of three major asset pricing anomalies, momentum, long-term reversal, and size, in a period when anomalies were not yet known. 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, suggesting that the size anomaly exists and is not an artefact of statistical noise or data snooping.