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...

We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of three major asset pricing anomalies, momentum, long-term reversal, and size, in a period when anomalies were not yet known. We find strong evidence of momentum in almost every market. We find no evidence of...