A Rational Foundation for Trend-Chasing and Contrarian Trades with Implications for Momentum Anomalies
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DOI: 10.1142/S2010139213500031
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References listed on IDEAS
- Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
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Cited by:
- Hadad, Elroi & Kedar-Levy, Haim, 2024. "The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1303-1313.
- Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
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Keywords
Trend-chasing; Contrarian; momentum; reversal; rational;All these keywords.
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