Rebels, Conformists, Contrarians and Momentum Traders

Evan Gatev and Stephen Ross

No 7835, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2000-08
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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