Style Effects in the Cross-Section of Stock Returns
Singapore Management University - School of Business
Harvard University - Department of Economics
AFA 2003 Washington, DC Meetings
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).
Number of Pages in PDF File: 44
Keywords: Style, Style investing, Return predictability
JEL Classification: G12, G14working papers series
Date posted: October 22, 2001
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