Cross-Asset Style Momentum
Posted: 23 Apr 2010 Last revised: 21 Jun 2016
Date Written: April 26, 2012
This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper show 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 auto-correlations of style returns. We interpret this result as being more consistent with the underreaction models than with the excess comovement and performance chasing models.
Keywords: Style momentum, multiple asset classes, underreaction, excess comovement, performance chasing
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation