Style investing, comovement and return predictability

• 成果类型: Article
• 署名作者: Wahal, Sunil; Yavuz, M. Deniz
• 署名单位: Purdue University System; Purdue University; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.005
• 发表日期: 2013
• 页码: 136-154
• 关键词: Style investing; momentum; Return predictability; comovement; behavioral finance

摘要

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. (C) 2012 Elsevier B.V. All rights reserved.