momentum documented by Lee and Swaminathan (2000). Our results are also consistent with a variety of other empirically … documented phenomena such as bubbles, crashes, reversals and excess price volatility and volume. Novel empirical predictions are … are twofold: i) optimal trading strategies involve riding bubbles, and that ii) contrarian trading can be optimal in some …

term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and … reversal. …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …