Style investing, comovement and return predictability

Sunil Wahal and M. Deniz Yavuz

Journal of Financial Economics, 2013, vol. 107, issue 1, 136-154

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.

Keywords: Style investing; Momentum; Return predictability; Comovement; Behavioral finance (search for similar items in EconPapers)
JEL-codes: D03 G10 G11 G12 G14 G19 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:107:y:2013:i:1:p:136-154

DOI: 10.1016/j.jfineco.2012.08.005

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