Daily momentum and contrarian behavior of index fund investors

Journal of Financial and Quantitative Analysis

Volumn 37, Issue 3, 2002, Pages 375-389

  Goetzmann, William N ^a   Massa, Massimo ^b  

^a YALE UNIVERSITY   (United States)

^b INSEAD   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036745583     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/3594985     Document Type: Article

References (20)

1. Brennan, M.J.; T. Chordia; and A. Subrahmanyam. "Alternative Factor Specifications, Security Characteristics, and the Cross Section of Expected Returns." Journal of Financial Economics, 49 (1998), 345-373.
2. Brennan, M.J.; N. Jegadeesh; and B. Swaminathan. "Investment Analysis and the Adjustment of Stock Prices to Common Information." Review of Financial Studies, 6 (1993), 799-824.
3. Busse, J.A. "Volatility Tinting in Mutual Funds: Evidence from Daily Returns." Review of Financial Studies, 12 (1998), 1009-1042.
4. Choe, H.; B. Kho; and R.M. Stulz. "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997." Journal of Financial Economics, 54 (1997), 227-264.
5. De Long, J.B.; A. Shleifer; L. H. Summers; and R. J. Waldmann. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation." Journal of Finance, 45 (1990), 379-395.
6. Edelen, R.M., and J.B. Warner. "Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns." Journal of Financial Economics, 59 (2001).
7. Froot, K.A.; P.G.J. O'Connell; and M. Seasholes. "The Portfolio Flows of International Investors." Journal of Financial Economics, 59 (2001), 151-193.
8. Goetzmann, W., and M. Massa. "Index Funds and Stock Market Growth." Journal of Business (forth-coming 2002).
9. Gompers, P., and A. Merrick. "Institutional Investors and Equity Prices." Quarterly Journal of Economics, 116 (2001), 229-259.
10. Graham, J.R., and C.R. Harvey. "Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations." Journal of Financial Economics, 42 (1996), 397-421.
11. Grinblatt, M., and M. Keloharju. "How Distance, Language, and Culture Influence Stockholdings and Trades," Journal of Finance, 56 (2001a), 1053-1073.
12. _. "What Makes Investors Trade?" Journal of Finance, 56 (2001b), 589-616.
13. Grinblatt, M.; S. Titman; and R. Wermers. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior." American Economic Review, 85 (1995), 1088-1105.
14. Keim, D., and A. Madhavan. "Anatomy of the Trading Process. Empirical Evidence on the Behavior of Institutional Traders." Journal of Financial Economics, 37 (1995), 371-398.
15. Lakonishok, J., and E. Maberly. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors." Journal of Finance, 45 (1990), 231-243.
16. Lakonishok, J.; A. Shleifer; and R.W. Vishny. "Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading." NBER Working Paper: 3846 (1991).
17. Lewellen, W.G.; R.C. Lease; and G.C. Schlarbaum. "Investment Performance and Investor Behavior." Journal of Financial and Quantitative Analysis, 14 (1979), 29-57.
18. Nofsinger, J.R., and R.W. Sias. "Herding and Feedback Trading by Institutional and Individual Investors." Journal of Finance, 54 (1999), 2263-2295.
19. Odean, T. "Are Investors Reluctant to Realize Their Losses?" Journal of Finance, 53 (1998), 1775-1798.
20. Sias, R.W., and L.T. Starks. "Return Autocorrelation and Institutional Investors." Journal of Financial Economics, 46 (1996), 103-131.