Cross-Asset Style Momentum

Posted: 23 Apr 2010 Last revised: 21 Jun 2016

Date Written: April 26, 2012

Abstract

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

Kim, Daehwan, Cross-Asset Style Momentum (April 26, 2012). Available at SSRN: https://ssrn.com/abstract=1594143 or http://dx.doi.org/10.2139/ssrn.1594143

Daehwan Kim (Contact Author)

Konkuk University ( email )

1 Hwayang-dong
Kwangjin-gu
Seoul, 143-701
Korea

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