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Information Percolation, Momentum and Reversal

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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.

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