We study equity markets between 1900 and 1925 to provide a pure out-of-sample test of three major asset pricing anomalies: momentum, long-term reversal, and size. We find strong evidence of momentum in almost every market. Momentum is a local phenomenon, as the returns of momentum long-short...

UK company insiders, such as directors, were legally allowed to trade in the shares of their own companies up until the Companies Act of 1980. This article investigates the trading behaviour of directors over the period 1890 to 1909 in the UK. It finds relatively few instances of directors who...

Miller and Modigliani (1961) show that in perfect and complete financial markets a firm's value is unaffected by its dividend policy. Much of the more recent research has demonstrated that dividend policy becomes important in the presence of taxation, asymmetric information, incomplete...