Attempts to explain negative serial correlation and price reversals, from a rational point of view, range from bid-ask biases (see, among others, Roll, 1984; Cox and Peterson, 1994; Jegadeesh and Titman, 1995; and Park, 1995) to multifactor asset pricing models (Fama and French, 1996) and size eff ects (Zarowin, 1990). Possible explanations for the momentum behavior are analyst coverage, transaction costs, book-to-market eff ects, size, and trading volume (see, among others, Asness, 1997; Chan et al., 2000; Hong et al., 2000; Lee and Swaminathan, 2000; Hameed and Kusnadi, 2002; Lesmond et al., 2004). Many economists attempt to explain these patterns from a behavioral point of view and discuss several channels through which investor sentiment and psychological biases may lead to ineffi ciencies in asset returns (see, among others, Lakonishok et al., 1994; Barberis et al., 1998; Daniel et al., 1998; Odean 1998; and Scott et al., 2003). For instance, the model suggested by Barberis et al.