TY  - JOUR
AU  - Chabot,Benjamin
AU  - Ghysels,Eric
AU  - Jagannathan,Ravi
TI  - Price Momentum In Stocks: Insights From Victorian Age Data
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14500
PY  - 2008
Y2  - November 2008
UR  - http://www.nber.org/papers/w14500
L1  - http://www.nber.org/papers/w14500.pdf
N1  - Author contact info:
Benjamin R. Chabot
Department of Economics
Yale University
27 Hillhouse Ave, Rm 33
New Haven, CT 06520
Tel: (203) 432-3566
Fax: NA
E-Mail: benjamin.chabot@yale.edu

Eric Ghysels
Department of Economics
University of North Carolina-Chapel Hill
Gardner Hall, CB 3305
Chapel Hill, NC 27599-3305
Tel: 919/966-5325
Fax: 919/966-4886
E-Mail: eghysels@unc.edu

Ravi Jagannathan
Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719
E-Mail: rjaganna@northwestern.edu
AB  - We find that price momentum in stocks was a pervasive phenomenon during the Victorian age (1866-1907) as well. Momentum strategy profits have little systematic risk even at business cycle frequencies; disappear periodically only to reappear later; exhibit long run reversal; and are higher following up markets, suggesting limited availability of arbitrage capital relative to opportunities during those times. Since there were no capital gains taxes during the Victorian age, the long run reversal of momentum profits must have a fundamental component, that is unrelated to tax based trading, identified by Grinblatt and Moskowitz (2004) using CRSP era data.
ER  -