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Rebels, Conformists, Contrarians and Momentum Traders / Evan Gatev, Stephen A. Ross.
- Format:
- Book
- Author/Creator:
- Gatev, Evan.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7835.
- NBER working paper series no. w7835
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2000.
- Summary:
- 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.
- Notes:
- Print version record
- August 2000.
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