Style investing, comovement and return predictability
Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future stock re...
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| Veröffentlicht in: | Journal of financial economics 2013-01, Vol.107 (1), p.136-154 |
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| container_end_page | 154 |
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| container_title | Journal of financial economics |
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| creator | Wahal, Sunil Yavuz, M. Deniz |
| description | Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future stock returns after controlling for size, book-to-market and past stock returns. We also use comovement to identify style investing and assess its impact on momentum. High comovement momentum portfolios have significantly higher future returns than low comovement momentum portfolios. Overall, our results suggest that style investing plays a role in the predictability of asset returns. |
| doi_str_mv | 10.1016/j.jfineco.2012.08.005 |
| format | Article |
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| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2013-01, Vol.107 (1), p.136-154 |
| issn | 0304-405X 1879-2774 |
| language | eng |
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| source | Access via ScienceDirect (Elsevier) |
| subjects | Assets Behavioral finance Comovement Financial economics Futures Investment policy Momentum Portfolio performance Rates of return Return predictability Stock exchange Stock returns Studies Style investing |
| title | Style investing, comovement and return predictability |
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