TY  - JOUR
AU  - Gatev,Evan
AU  - Ross,Stephen A.
TI  - Rebels, Conformists, Contrarians and Momentum Traders
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7835
PY  - 2000
Y2  - August 2000
UR  - http://www.nber.org/papers/w7835
L1  - http://www.nber.org/papers/w7835.pdf
N1  - Author contact info:
Evan Gatev
Simon Fraser University
E-Mail: ega8@sfu.ca

Stephen A. Ross
MIT Sloan School of Management
100 Main Street, E62-616
Cambridge, MA 02142
Tel: 617/258-8371
Fax: 203/772-1365
E-Mail: sross@mit.edu
AB  - 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.
ER  -