Abstract
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.
Original language | English (US) |
---|---|
Pages (from-to) | 136-154 |
Number of pages | 19 |
Journal | Journal of Financial Economics |
Volume | 107 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2013 |
Keywords
- Behavioral finance
- Comovement
- Momentum
- Return predictability
- Style investing
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics
- Strategy and Management