A Growing List of Long-Run Factor Studies

While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run. When I started the work on the “Two Centuries of Price Momentum” paper in late 2007, there were barely any papers that looked behind the traditional back-test starting dates, and since then, I could not have imagined a more positive response and growth of interest in the field of long-run historical research, because the insights that come from deep history are truly new and critical to consider for both academic and practical reasons. Any of this was possible only because of the historians[1], nerdy heroes, who tirelessly continued to collect and organize centuries of data. Here is an attempt at a comprehensive list of long-run factor literature today (if I missed your work or if you know of one, please add it into comments):

  • Accominotti, Olivier and Chambers, 2014, David, Out-of-Sample Evidence on the Returns to Currency Trading. SSRN.

  • Annaert, Jan, Mensah, Lord, 2014, Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914), Explorations in Economic History IDEAS

  • Arouria, Mohamed, Estay, Christophe, Rault, Christophe, Roubaud, David, 2016, Economic policy uncertainty and stock markets: Long-run evidence from the US, FRL

  • Baltussen, Guido, Swinkels, Laurens, and Pim van Vliet, 2019, Global Factor Premia, SSRN

  • Blitz, David, 2016, Low-volatility evidence dating back to 1873, WhitePaper Robeco.

  • Chabot, Benjamin, Ghysels, Eric, and Jagannathan, Ravi, 2009, Price momentum in stocks: insights from Victorian age data, NBER

  • Dimson, Elroy, Nagel, Stefan, Quigley, Garrett, 2003, Capturing the Value Premium in the United Kingdom. FAJ

  • Dimson, Elroy, Marsh, Paul, and Staunton, Mike, 2017, Factor-Based Investing: The Long-Term Evidence, JPM

  • Geczy, Christopher and Samonov, Mikhail, 2016, Two Centuries of Price-Return Momentum, FAJ

  • Geczy, Christopher and Samonov, Mikhail, 2017, Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks), Available at SSRN

  • Geczy, Christopher and Samonov, Mikhail, 2017, Two Centuries of Multi-Asset Value and Momentum, Knowledge @ Wharton

  • Geczy, Christopher and Samonov, Mikhail, 2019, Two Centuries of Commodity Futures Premia: Value, Momentum and Basis, SSRN.

  • Goetzmann, William N. and Huang, Simon, 2018, Momentum in Imperial Russia. Journal of Financial Economics, Forthcoming, SSRN

  • Gompes, Paul and Lerner, Josh, 2001, The Really Long-Run Performance of Initial Public Offerings: The Pre-Nasdaq Evidence. JOF

  • Greyserman, Alex and Kaminski, Kathryn, 2014, Trend Following with Managed Futures: The Search for Crisis Alpha, Wiley

  • Hanna, Alan, Turner, John, Walker, Clive, 2017, News Media and Investor Sentiment over the Long Run. SSRN

  • Hurst, Brian, Ooi, Yao Hua, and Pedersen, Lasse H., 2012, A century of evidence on trend-following, investing, AQR

  • Ilmanen, Israel, Moskowitz, Thapar, Wang, 2019, Factor Premia and Factor Timing: A Century of Evidence, SSRN

  • Jacobsen, Ben, Zhang, Cherry Yi, 2018, The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time, SSRN

  • Jones, Charles, 2002, ‘A Century of Stock Market Liquidity and Trading Costs’, SSRN

  • Lempérière, Yves, Deremble, Cyril, Seager, Philip Andrew, Potters, Marc, and Bouchaud, Jean-Philippe, 2014, Two centuries of trend following, IDEAS

  • Odlyzko, Andrew, 2017, Novel market inefficiencies from early Victorian times, FHR

  • Szakmary, Andrew C. and Zhou, Xiwen, 2013, Industry momentum in an earlier time: Evidence from Cowles data, Wiley

  • Trigilia, Giulio and Wang, Pingle, 2019, Momentum, Echo and Predictability: Evidence from the London Stock Exchange (1820-1930), SSRN

  • Urquhart, Andrew, McGroarty, Frank, 2014, Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data, IRFA

  • Wahal, Sunil, The Profitability and Investment Premium: Pre-1963 Evidence (March 20, 2018). Journal of Financial Economics (JFE), Forthcoming. SSRN

  • Zaremba, Adam, Bianchi, Robert, Mikutowski Mateusz, 2019, Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence, SSRN

  • Zaremba, Adam, Karathanasopoulos Andreas, Long, Huaigang, 2019, Short-Term Momentum (Almost) Everywhere, SSRN

PS. I am periodically updating this list in attempt to keep it current, so feel free to bookmark and come back to see the latest additions.

[1] For example, U.S. Equity market indices have been constructed and extended by the following sample of academics: Mitchell (1910), Smith and Cole (1928), Macaulay (1938), Cowles (1939), Fisher and Lorie (1960), Schwert (1990), Siegel (1992), Shiller (2000), Goetzmann, Ibbotson and Peng (2001), Sylla, Wilson and Wright (2006).