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Cross‐asset Style Momentum
Author(s) -
Kim Daehwan
Publication year - 2012
Publication title -
asia‐pacific journal of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.375
H-Index - 15
eISSN - 2041-6156
pISSN - 2041-9945
DOI - 10.1111/j.2041-6156.2012.01084.x
Subject(s) - phenomenon , equity (law) , momentum (technical analysis) , financial economics , economics , style (visual arts) , capital asset pricing model , asset (computer security) , econometrics , physics , geography , political science , computer science , computer security , archaeology , quantum mechanics , law
Previous studies have demonstrated style momentum within equity markets. This paper reports significant momentum profits among style portfolios of multiple asset classes, showing that style momentum is not merely an equity market phenomenon, but a cross‐asset phenomenon. A decomposition of profits reveals that profits are mostly attributable to positive autocorrelations of style returns. We interpret this result as being more consistent with underreaction models than with excess comovement and performance chasing models.