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Daily Momentum and Contrarian Behavior of Index Fund Investors

Published online by Cambridge University Press:  06 April 2009

William N. Goetzmann  and
Massimo Massa
William N. Goetzmann
Affiliation:
william.goetzmann@yale.edu, School of Management, Yale University, 135 Prospect Street, Box 208200, New Haven, CT 06520
Massimo Massa
Affiliation:
massimo.massa@insead.edu, INSEAD, Boulevard de Constance, Fontainebleau Cedex 77305, France.
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Abstract

We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91,000 investors who have chosen a low-cost, passively managed vehicle for savings. We identify classes of momentum investors and contrarian investors. We use these classes to build up “behavioral factors” based on contrarian and momentum flows and we show that they are relevant for pricing. They perform well against a benchmark of loadings on latent factors extracted from returns.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 37 , Issue 3 , September 2002 , pp. 375 - 389
Copyright
Copyright © School of Business Administration, University of Washington 2002

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