Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets

Benjamin Chabot, Eric Ghysels, Ravi Jagannathan

NBER Working Paper No. 15591
Issued in December 2009

---- Acknowledgements -----

We thank Nick Barberis, Jennifer Conrad, Gautam Kaul, Jegadeesh Narasimhan, Lu Zhang, and seminar participants at the University of Michigan for helpful comments. We also thank Soohun Kim for invaluable research assistance. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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