We study the cones of pseudoeffective and nef cycles of higher codimension on the self product of an elliptic curve with complex multiplication, and on the product of a very general abelian surface with itself. In both cases, we find for instance the existence of nef classes that are not pseudoeffective, answering in the negative a question raised by Grothendieck in correspondence with Mumford. We also discuss several problems and questions for further investigation.