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http://ssrn.com/abstract=238481
 
 

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Rebels, Conformists, Contrarians and Momentum Traders


Evan Gatev


Simon Fraser University

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

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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Date posted: August 12, 2000  

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

Contact Information

Evan Gatev (Contact Author)
Simon Fraser University ( email )
Burnaby, British Columbia V5A 1S6
Canada
Stephen A. Ross
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
77 Massachusetts Ave.
E62-416
Cambridge, MA 02142
United States
203-432-6015 (Phone)
203-432-8931 (Fax)
Yale University - International Center for Finance
Box 208200
New Haven, CT 06520-8200
United States
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References:  19
Citations:  2
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