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
Hauptverfasser:	Wahal, Sunil, Yavuz, M. Deniz
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Behavioral finance Comovement Financial economics Futures Investment policy Momentum Portfolio performance Rates of return Return predictability Stock exchange Stock returns Studies Style investing
Online-Zugang:	Volltext
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