An Institutional Theory of Momentum and Reversal
---- Acknowledgements ----
We thank Nick Barberis, Jonathan Berk, Bruno Biais, Pierre Collin-Dusfresne, Peter DeMarzo, Xavier Gabaix, John Geanakoplos, Jennifer Huang, Ravi Jagannathan, Peter Kondor, Arvind Krishnamurthy, Toby Moskowitz, Anna Pavlova, Lasse Pedersen, Christopher Polk, Matthew Pritzker Jeremy Stein, Luigi Zingales, seminar participants at Chicago, Columbia, Lausanne, Leicester, LSE, Munich, Northwestern, NYU, Oslo, Oxford, Stanford, Sydney, Toulouse, Zurich, and participants at the American Economic Association 2010, American Finance Association 2010, CREST-HEC 2010, CRETE 2009, Gerzensee 2008 and NBER Asset Pricing 2009 conferences for helpful comments. Financial support from the Paul Woolley Centre at the LSE is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.