Momentum cycles and limits to arbitrage evidence from Victorian England and post-depression US stock markets
By: Benjamin Chabot, Eric Ghysels, Ravi Jagannathan.
Contributors: Ghysels, Eric, 1956-; Jagannathan, Ravi.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 15591; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15591.
Publisher: National Bureau of Economic Research
Published: 2009
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We evaluate the importance of "Limits to Arbitrage" to explain profitability of momentum strategies.  Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter.  We demonstrate the robustness of our findings with a unique database of stock returns from1866-1907 London and the CRSP database.  Momentum cycle durations are similar in both databases and all other momentum facts documented in the literature using the CRSP database hold for the Victorian period as well, except for the January reversal due to the absence of capital gains taxation"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/29/2009.

Includes bibliographical references.

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