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Interestingly enough, the guy who runs the Trend Following website lives up the street from me, and I consider him a friend. We've had some interesting debates, and I've got his new book sitting on my desk.

I think that it's indisputable that there is something to the fact that stocks have momentum. Wilcox and Crittenden failed to disprove the finding of Kyle and Wang (1998). They showed that when traders compete for duopoly profits that the conditions that are necessary to show that overconfident traders reap greater profits include several assumptions exist that do not extend to individual investors.

There's an ocean of difference between "can lead to outperformance" and "offers the highest potential for outperformance" in investing.

Or to put it more simply, if this study held that much water, there's a low probability that Odean's and Barber's research into actual trading results over extended periods of time would show such overwhelming evidence to the contrary.

Bill Mann
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