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Global style momentum

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  • Chao, Hsiao-Ying
  • Collver, Charles
  • Limthanakom, Natcha

Abstract

We first document the empirical regularity of significant style-level momentum returns in international data. Then we test some Barberis and Shleifer (2003) propositions regarding style momentum. One proposition holds that Sharpe ratios from style-level momentum strategies should be at least as large as stock-level momentum Sharpe ratios. We test for style-level momentum profitability in our sample of global markets and find some evidence of larger style momentum Sharpe ratios, especially within the value-growth style. However, most of the evidence favors stock momentum. The Barberis and Shleifer (2003) model also suggests that style momentum could be time-varying. Variables that effectively condition stock momentum are much less effective with style momentum.

Suggested Citation

  • Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha, 2012. "Global style momentum," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 319-333.
    • Handle: RePEc:eee:empfin:v:19:y:2012:i:3:p:319-333
    DOI: 10.1016/j.jempfin.2012.02.001
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    References listed on IDEAS

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    Cited by:

    1. Hongbo Guo & Xianhua Wei, 2017. "Momentum Decomposition: Evidence from Emerging Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(2), pages 123-132, February.
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    3. Zaremba, Adam & Shemer, Jacob, 2018. "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 120-130.
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    5. Zaremba, Adam, 2017. "Performance persistence of government bond factor premia," Finance Research Letters, Elsevier, vol. 22(C), pages 182-189.
    6. Bruce J. Vanstone & Tom Smith & Tobias Hahn, 2017. "Australian momentum: performance, capacity and the GFC effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 261-287, March.

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    More about this item

    Keywords

    Style momentum profits; Global equity markets; Conditional style momentum;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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