Publication Type
Journal Article
Version
acceptedVersion
Publication Date
11-2004
Abstract
Using CRSP stock and mutual fund data, we find strong evidence for reversals at the style level (e.g., large value, small growth, etc.). There are significant excess and risk-adjusted returns for stocks in styles characterized by the worst past returns and net inflows. We also find evidence for momentum and positive feedback trading at the style level. These value and momentum effects are driven neither by fundamental risk nor by stock-level reversals and momentum. Taken together, the results are consistent with the style-level positive feedback trading model of Barberis and Shleifer (2003).
Keywords
Stocks, Mutual funds, Style, Style investing, Return predictability
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Financial Economics
Volume
74
Issue
2
First Page
367
Last Page
398
ISSN
0304-405X
Identifier
10.1016/j.jfineco.2003.10.003
Publisher
Elsevier
Citation
TEO, Melvyn and WOO, Sung-Jun.
Style Effects in the Cross-Section of Stock Returns. (2004). Journal of Financial Economics. 74, (2), 367-398.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2359
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jfineco.2003.10.003