Daily Momentum And Contrarian Behavior Of Index Fund Investors

William Goetzmann and Massimo Massa ()
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Massimo Massa: INSEAD - Department of Financ

Yale School of Management Working Papers from Yale School of Management

Abstract: Abstract: We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms of their investment patterns. In particular, we identify positive feedback traders as well as contrarians whose activities are conditional upon preceding day stock market moves. We test the consistency and profitability of these conditional strategies over time. We find that more frequent traders are typically contrarians, while infrequent traders are more typically momentum investors. The dynamics of these investor classes help us to partially examine the question of the marginal investor over the period of our study. We find that the behavior of momentum investors is typically more correlated to changes in the S&P 500 and we trace its dynamics over time. We build up

JEL-codes: D1 D8 D9 E2 G2 (search for similar items in EconPapers)
Date: 1999-12-01
New Economics Papers: this item is included in nep-dev, nep-fin, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Daily Momentum and Contrarian Behavior of Index Fund Investors (2002)
Working Paper: Daily Momentum And Contrarian Behavior Of Index Fund Investors (2001)
Working Paper: Daily Momentum and Contrarian Behavior of Index Fund Investors (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm13

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