Global style momentum |
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Authors: | Hsiao-Ying Chao Charles Collver Natcha Limthanakom |
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Institution: | 1. H. Wayne Huizenga School of Business and Entrepreneurship, Nova Southeastern University, United States;2. H. Wayne Huizenga School of Business and Entrepreneurship, Nova Southeastern University, 3301 College Avenue, Fort Lauderdale-Davie, FL 33314, United States |
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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. |
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