@techreport{NBERw7835,
 title = "Rebels, Conformists, Contrarians and Momentum Traders",
 author = "Evan Gatev and Stephen A. Ross",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "7835",
 year = "2000",
 month = "August",
 URL = "http://www.nber.org/papers/w7835",
 abstract = {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.},
}