Asymmetric effect of style comovement on momentum

Ching-Chi Hsu and Miao-Ling Chen

Finance Research Letters, 2019, vol. 31, issue C, 146-154

Abstract: This study examines whether the impact of style investing on momentum profits depends on market states. By measuring the style comovement to evaluate the influence of style investing on momentum, our evidence shows that the momentum profits on high style comovement portfolios are higher than on low style comovement portfolios. The momentum strategies on high style comovement portfolios are more profitable when the market is optimistic. Our findings demonstrate that style chasing behavior by investors is reinforced following increased market optimism, thus generating an asymmetric influence of style investing in momentum profits.

Keywords: Style investing; Market states; Style comovement; Momentum; Style chasing (search for similar items in EconPapers)
JEL-codes: E32 G10 G11 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:146-154

DOI: 10.1016/j.frl.2019.03.022

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