Using unique data with the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, especially mutual funds, are momentum traders, whereas private investors are contrarians. The disposition effect only partly explains the aggregate contrarian trading of private investors. We document a substantial increase in sales of past loser stocks by momentum traders during the market decline associated with the recent financial crisis 2007–2009. Evidence indicates that these excessive sales pushed prices below their fundamental value and are predictive of the momentum crash in 2009.

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Keywords Investor behavior, Momentum anomaly, Momentum crash
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Journal Journal of Financial Markets
Baltzer, M. (Markus), Jank, S, & Smajlbegovic, E. (2018). Who trades on momentum?. Journal of Financial Markets. doi:10.1016/j.finmar.2018.08.003