Style Investing / Nicholas Barberis, Andrei Shleifer.

Format:

Book

Author/Creator:

Barberis, Nicholas.

Contributor:

National Bureau of Economic Research.

Shleifer, Andrei.

Series:

Working Paper Series (National Bureau of Economic Research) no. w8039.

NBER working paper series no. w8039

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2000.

Summary:

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated styles, that assets in the same style will comove too much while assets in different styles comove too little, and that high average returns on a style will be associated with common factors for reasons unrelated to risk. They also lead to a rich pattern of own- and cross-autocorrelations, sample premia that can be very different from true premia, and imply that style momentum strategies will be profitable. We use our model to shed light on many puzzling features of the data.

Notes:

Print version record

December 2000.