Publication Type

Journal Article

Version

Postprint

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

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