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<DIV><A
href="http://papers.ssrn.com/paper.taf?ABSTRACT_ID=146048";>http://papers.ssrn.com/paper.taf?ABSTRACT_ID=146048</A></DIV>
<DIV> </DIV>
<DIV><FONT size=+1>Behavior Of Momentum Following And Contrarian Market
Timers</FONT>
<P align=center><A
href="http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=56396";>ALOK
KUMAR</A><BR>Yale School of Management<BR>
<HR align=center width="25%">
<CENTER>January 1999<BR><!-- pip journal id is 223084 --><FONT size=-1><A
href="http://papers.ssrn.com/paper.taf?pip_jrnl=223084"; onclick=WinOpen()
target=PIP title="PIP JOURNAL">Yale ICF Working Paper No.
99-01</A></FONT><BR></@xx></CENTER>
<P><BR><FONT size=-1><STRONG>Abstract:</STRONG><BR><BR>I analyze the behavior of
a group of investment newsletters that provide explicit recommendations about
the fractions of investment holding that should be allocated to risky and
riskless asset classes. I find that the group of newsletters exhibit few types
of simple behaviors and a majority of them can be classified as either momentum
follower or contrarian. My analysis also shows that portfolios recommended by
both momentum following and contrarian newsletters are capable of outperforming
a fully invested benchmark portfolio. The newsletter recommended portfolios have
positive Sharpe ratios, lower beta with respect to the market and a positive
Jensen's alpha. Overall, these results indicate that by using simple trading
strategies and proper timing, some newsletters are able to exhibit superior
performance. The results also provide empirical support for models that posit
feedback based investor behavior and provide a useful parametrization for
researchers modeling investor behavior. <BR></P></FONT></DIV></BODY></HTML>
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