Momentum Trading
Robert Waldmann wishes that more people read our work :-).
Hoisted from comments:
Grasping Reality with Both Hands: The Semi-Daily Journal of Economist Brad DeLong: Monkeys Trade Assets I: I'm sure you're shocked, shocked that the way to make money is to drive prices away from fundamentals in order to take advantage of momentum traders which you certainly didn't claim that 18 years ago in "Positive Feedback Investment Strategies and Price Destabilizing Rational Speculation," The Journal of Finance vol 65 pp 379-95 (June 1990) (which cited the original Smith et al experiment).
Hot news now, published 18 years ago. Now that's what I call getting ahead of the bubble.
Posted by: Robert Waldmann | December 14, 2008 at 03:21 AM
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann (1991), "The Survival of Noise Traders in Financial Markets," Journal of Business 64: 1 (January), pp. 1-20.
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann (1990), "Noise Trader Risk in Financial Markets," Journal of Political Economy 98: 4 (August 1990), pp. 703-738.
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann (1990), "Positive-Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance 45: 2 (June), pp. 374-397.
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann (1989), "The Size and Incidence of Losses from Noise Trading," Journal of Finance 44: 3 (July), pp. 681-696.
The model of NTRiFM was very pretty, and as a result I think that paper has had more than its proper share of influence. The models of the other papers are less pretty even though the ideas are, I think, at least as important--and they have not had much effect...
