全球智库信息集成服务系统(G2TT): Rebels, Conformists, Contrarians and Momentum Traders

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w7835
来源ID	Working Paper 7835
	Rebels, Conformists, Contrarians and Momentum Traders
	Evan Gatev; Stephen A. Ross
发表日期	2000-08-01
出版年	2000
语种	英语
摘要	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.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w7835
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/565414
推荐引用方式 GB/T 7714	Evan Gatev,Stephen A. Ross. Rebels, Conformists, Contrarians and Momentum Traders. 2000.