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| Author: | Barberis, N. Shleifer, A. |
| Title: | Style investing |
| Journal: | Journal of Financial Economics
2003 : MAY, VOL. 68:2, p. 161-199 |
| Index terms: | Styles Investment planning Value analysis |
| Freeterms: | Comovement |
| Language: | eng |
| Abstract: | The authors study asset prices in an economy where some investors categorize risky assets into different styles and move funds among these depending on their relative performance. The authors also predict that style returns exhibit a rich pattern of own- and cross-autocorrelations and that while asset-level momentum and value strategies are profitable, their style-level counterparts are even more so. |
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