Informed Momentum Trading versus Uninformed "Naive" Investors Strategies
(2011)
Journal Article
Banerjee, A., & Hung, C. (2011). Informed Momentum Trading versus Uninformed "Naive" Investors Strategies. Journal of Banking and Finance, 35(11), 3077-3089. https://doi.org/10.1016/j.jbankfin.2011.04.005
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 profi... Read More about Informed Momentum Trading versus Uninformed "Naive" Investors Strategies.