Global style momentum

Hsiao-Ying Chao, Charles Collver and Natcha Limthanakom

Journal of Empirical Finance, 2012, vol. 19, issue 3, 319-333

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.

Keywords: Style momentum profits; Global equity markets; Conditional style momentum (search for similar items in EconPapers)
JEL-codes: F37 G12 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:19:y:2012:i:3:p:319-333

DOI: 10.1016/j.jempfin.2012.02.001

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