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Paper Stats:
Abstract Views: 4732
Downloads: 42
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Rebels, Conformists, Contrarians and Momentum Traders
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EVAN GATEV
Boston College - Department of Finance
STEPHEN A. ROSS
Massachusetts Institute of Technology (MIT) - Sloan School of Management; Yale University - International Center for Finance
August 2000
NBER Working Paper No. W7835
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Abstract:
We develop a model of optimal investment with two types of agents with different beliefs about the market dynamics. Market conformists agree with the true log-normal price distribution and rebels believe in price predictability. Depending on their exact beliefs, the rebels may follow either a momentum or a contrarian strategy. It is difficult to detect rebels' beliefs that are not far-fetched from the market perspective. The long-run investment portfolios of both conformist and rebels need not be biased towards equities.
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JEL Classifications: G1,G0
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Working Paper Series
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Suggested Citation
Gatev, Evan and Ross, Stephen A., "Rebels, Conformists, Contrarians and Momentum Traders"
(August 2000).
NBER Working Paper No. W7835. Available at SSRN: http://ssrn.com/abstract=238481
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Contact Information for
EVAN
GATEV
(Contact Author)
Email address for EVAN
GATEV
Boston College - Department of Finance
Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill
, MA
02467-3808
United States
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Contact Information for
STEPHEN
A.
ROSS
Email address for STEPHEN
A.
ROSS
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Cambridge
, MA
02142
United States
203-432-6015 (Phone)
203-432-8931 (Fax)
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(No e-mail address available for STEPHEN
A.
ROSS
Yale University - International Center for Finance
Box 208200
New Haven
, CT
06520-8200
United States
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Aug 12, 2000 |
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