Behavior Of Momentum Following And Contrarian Market Timers

Alok Kumar (akumar@nd.edu)
Additional contact information
Alok Kumar: Mendoza College of Business

Yale School of Management Working Papers from Yale School of Management

Abstract: I analyze the behavior of a group of investment newsletters that provide explicit recommendations about the fractions of investment holding that should be allocated to risky and riskless asset classes. I find that the group of newsletters exhibit few types of simple behaviors and a majority of them can be classified as either momentum follower or contrarian. My analysis also shows that portfolios recommended by both momentum following and contrarian newsletters are capable of outperforming a fully invested benchmark portfolio. The newsletter recommended portfolios have positive Sharpe ratios, lower beta with respect to the market and a positive Jensen's alpha. Overall, these results indicate that by using simple trading strategies and proper timing, some newsletters are able to exhibit superior performance. The results also provide empirical support for models that posit feedback based investor behavior and provide a useful parametrization for researchers modeling investor behavior.

JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 1999-01-21
References: Add references at CitEc
Citations:

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=146048 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 410 Gone (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=146048 [301 Moved Permanently]--> https://papers.ssrn.com/sol3/papers.cfm?abstract_id=146048)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm113

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by (som.extra@yale.edu).