文件大小:未知
级别评定:★★★★★
添加时间:2016-05-26 12:00:46
最后更新:2016-05-26 12:03:53
下载积分:0分 (只有会员文件下载时才需要相应积分验证)
总浏览:
总下载:4
发布人:george15135
Information Percolation, Momentum and Reversal
Daniel Andrei, Julien Cujean
April 10, 2016
Abstract
We propose a joint theory of time-series momentum and reversal based on a rationalexpectations model. We show that a necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word-of-mouth communication as a mechanism that enforces this condition and generates short-term momentum and long-term reversal. Investors with heterogeneous trading strategies—contrarian and momentum traders—coexist in the marketplace. Although a significant proportion of investors are momentum traders, momentum is not completely eliminated. Word-of-mouth communication spreads rumors and generates price run-ups and reversals. Our theoretical predictions are in line with empirical findings.