What academic study has the most historical data for momentum? Most studies I see go back to the 1960s at the most.
Good listing of momentum papers here and here.
Edit:
Looks like 1866-1907 is the winner so far, but is there a gap between 1907 and 1960s?
2008 GIRY – by Elroy Dimson, Paul Marsh, and Mike Staunton
“On the Nature and Origins of Trendfollowing“ – Ostgaard
The appendix of Carr’s book.
