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Global style momentum

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

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    File URL: http://www.sciencedirect.com/science/article/pii/S0927539812000060
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 19 (2012)
    Issue (Month): 3 ()
    Pages: 319-333

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    Handle: RePEc:eee:empfin:v:19:y:2012:i:3:p:319-333
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

    Keywords: Style momentum profits; Global equity markets; Conditional style momentum;

    Find related papers by 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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