Monday, June 8, 2015

Momentum In the Long Run: "215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks)"

We are skeptical of any indices that extend back in time past 1871.
What folks end up with is about 13 banks and because of survivorship bias you miss all the wooden turnpike companies.
The scholarship standard is the Cowles Commission's Common Stock Indexes 1871-1937 now kept at Yale under the watchful eye of Doc Shiller.*

From the Social Science Research Network:


Christopher Geczy


University of Pennsylvania - The Wharton School, Finance Department

Mikhail Samonov


Forefront Analytics

May 18, 2015

Abstract:     
Extending price return momentum tests to the longest available histories of global financial asset returns, including country-specific sectors and stocks, fixed income, currencies, and commodities, as well as U.S. stocks, we create a 215-year history of multi-asset momentum, and we confirm the significance of the momentum premium inside and across asset classes. Consistent with stock-level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the return of the asset class in which the momentum portfolio is built. A significant recent rise in pair-wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.


Number of Pages in PDF File: 84
Keywords: Price Momentum, Early Security Prices, Market States, Price Reversal

Download

*Here's his Yale homepage.
And  Irrational Exuberance.
Here's Common Stock Indexes...

....My favorite tidbit is the listing, among the pre-1871 industrials, of New York Guano.
Some things never change.
Here’s Yale’s (and my) gift:
http://cowles.econ.yale.edu/P/cm/m03/index.htm
It links to a big ‘ol hog of a PDF.
Here's "New York Guano".

In addition to Shiller several other Cowles associates have won Nobel prizes for research done while at the Cowles Commission.

These include Tjalling Koopmans, Kenneth Arrow, Gerard Debreu, James Tobin, Franco Modigliani, Herbert Simon, Lawrence Klein, Trygve Haavelmo and Harry Markowitz". -Marginal Revolution