We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that …

/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995- 2007 we find that short term momentum and long … good proxies for a momentum factor. Over the period 1995- 2007 we find that short term momentum and long term contrarian …; Turnover; Momentum factor; Behavioral finance ∗The views expressed in this article are those of the authors and do not …

diversification effectively, diversifying away about 70%-80% of unsystematic risk, the momentum factor is not among the important …