Article ID Journal Published Year Pages File Type
958264 Journal of Empirical Finance 2012 15 Pages PDF
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.

► We document style momentum around the globe. ► We show that value-growth momentum strategies outperform stock momentum strategies in many equity markets. ► Stock momentum strategies generally outperform size-based momentum strategies.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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