Two Centuries of Price-Return Momentum

Géczy, Christopher C.; Samonov, Mikhail

doi:10.2469/faj.v72.n5.1

Cited by 81 publications

(25 citation statements)

References 58 publications

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“…Second, we add to a fast-growing literature that tests asset-pricing anomalies over sample periods longer than a century. For example, Geczy and Samonov (2016 test momentum and value across different asset classes in two centuries worth of data. Chabot et al (2008) investigate momentum in Victorian-age England, and Goetzmann and Huang (2018) examine it in imperial Russia.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns

2019

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We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.

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Section: Introductionmentioning

confidence: 99%

“…Similar approach to testing anomalies in early asset data has been applied by, e.g.,Geczy and Samonov (2016 andBaltussen et al (2019).Also, Fama (2015) argues that cross-sectional and time-series tests should be performed jointly due to their unique insights and properties.…”

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confidence: 99%

The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns

2019

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“…For example, overconfidence has been used to explain the momentum effect (Daniel and Hirschleifer 2015), which has been found in several studies (e.g. Chabot et al 2009; Geczy and Samonov 2016). The NR vs RA mispricing that is the main subject of this article, as well as the terminable annuity pricing puzzle discussed in Section vi , and also the CA vs RA mispricing discussed in Odlyzko (2016b), do not fit any of the previously published patterns.…”

Section: IVmentioning

confidence: 97%

Novel market inefficiencies from early Victorian times

Odlyzko

2017

Financial History Review

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A previously unknown pricing anomaly existed for a few years in the late 1840s in the British government bond market, in which the larger and more liquid of two very large bonds was underpriced. None of the published mechanisms explains this phenomenon. It may be related to another pricing anomaly that existed for much of the nineteenth century in which terminable annuities were significantly underpriced relative to so-called ‘perpetual’ annuities that dominated the government bond market. The reasons for these mispricings seem to lie in the early Victorian culture, since the basic economic incentives as well as laws and institutions were essentially the familiar modern ones. This provides new perspectives on the origins and nature of modern corporate capitalism.

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“…Liu, Strong, and Xu (1999) find that the momentum investment strategy is also profitable in the UK stock market. Geczy and Samonov (2016) find momentum is significant since the beginning of the 19th century. Geczy and Samonov (2016) find momentum is significant since the beginning of the 19th century.…”

Section: Enhancing Momentum Investment Strategy Using Leveragementioning

confidence: 99%

“…Liew and Vassalou (2000), andWei (2003, 2010) find that this phenomenon is observed in global markets, with few exceptions such as Japan. Geczy and Samonov (2016) find momentum is significant since the beginning of the 19th century. Moreover, Fama (1998), after a deep analysis of the robustness of the methodologies used in the study of the different market anomalies, concludes that only two remain unexplained: price, and earnings momentum.…”

Section: Enhancing Momentum Investment Strategy Using Leveragementioning

confidence: 99%

Enhancing momentum investment strategy using leverage

Forner

Muradoğlu

Sivaprasad

2018

Journal of Forecasting

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Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns only among stocks with high leverage levels, but not among stocks with low leverage levels. However, high past returns (winners) forecast future positive abnormal returns independently of leverage level. As a result, the negative relation between leverage and future abnormal returns is only observed among loser stocks, and the positive relation between past returns and future abnormal returns is only shown among non‐low leverage stocks. Our results are important in achieving better investment strategies: buying winners' stocks (independently of their level of leverage) and short‐selling losers' stocks with high leverage yield higher abnormal returns than strategies based on only one of these variables. Our two‐dimensional strategy yields risk‐adjusted abnormal returns of 15.66% per annum, whereas the single leverage or momentum strategies yield 7.70% and 7.96% per annum, respectively. The difference is nearly 8% and economically significant. If leverage is considered as proxy for default risk, our results, contrary to previous evidence, show that momentum profits are not exclusive of default stocks, and that momentum returns are not only driven by negative returns yielded by distress stocks.

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Two Centuries of Price-Return Momentum

Cited by 81 publications

References 58 publications

The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns

The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns

Novel market inefficiencies from early Victorian times

Enhancing momentum investment strategy using leverage

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