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Momentum Or Contrarian Investment Strategies: Evidence From Dutch Institutional Investors

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Executive Summary

This paper analyzes investment strategies of three types of institutional investors - pension funds, life insurers and non-life insurers - over the period 1999-2005. The authors use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. They trace asset reallocations back to both active trading and revaluations and link investment decisions to firm-specific characteristics and macroeconomic variables. Overall, their results indicate that all three investor types tend to be contrarian traders, i.e. they buy past losers and sell past winners.

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