opportunities for momentum (contrarian) traders. We form hypothetical zero investment portfolios of high (low) sentiment betas … stocks, and show that momentum profits decompose to reveal positive (negative) serial correlation of idiosyncratic returns …, that contribute to momentum (contrarian) profits. Furthermore, actual mutual funds identified as momentum (contrarian …

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value …-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither … cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead …

-rise being stronger than killing-fall leads to asymmetry of feedback trading. Our article investigates how mutual funds react to … when asymmetric feedback trading of the relevant stock gets more intense. This negative relationship is robust after … when stocks are allowed short-selling. Further results show that mutual funds' selling towards asymmetric feedback trading …