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Information diffusion and momentum in laboratory markets

Lin, Shengle - In: The journal of behavioral finance : a publication of … 16 (2015) 4, pp. 357-372

Persistent link: https://www.econbiz.de/10011566156

Marshall, Ben R.; Visaltanachoti, Nuttawat; Cooper, … - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 237-249

Persistent link: https://www.econbiz.de/10010342391

Informed momentum trading versus uninformed “naive” investors strategies

Banerjee, Anurag Narayan; Hung, Chi-Hsiou - In: Journal of banking & finance 35 (2011) 11, pp. 3077-3089

Persistent link: https://www.econbiz.de/10009374559

Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies

Banerjee, Anurag Narayan - 2011

We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...

Persistent link: https://www.econbiz.de/10013134012