Style investing

• 成果类型: Article
• 署名作者: Barberis, N; Shleifer, A
• 署名单位: University of Chicago; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00064-3
• 发表日期: 2003
• 页码: 161-199
• 关键词: Style investing; comovement; positive feedback; Value; momentum

摘要

We study asset prices in an economy where some investors categorize risky assets into different styles and move funds among these styles depending on their relative performance. In our economy, assets in the same style comove too much, assets in different styles comove too little, and reclassifying an asset into a new style raises its correlation with that style. We also predict that style returns exhibit a rich pattern of own- and cross-autocorrelations and that while asset-level momentum and value strategies are profitable, their style-level counterparts are even more so. We use the model to shed light on several style-related empirical anomalies. (C) 2003 Elsevier Science B.V. All rights reserved.