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Keywords:

  • Style momentum;
  • Multiple asset classes;
  • Underreaction;
  • Excess comovement;
  • Performance chasing
  • G10;
  • G11;
  • G12

Abstract

Previous studies have demonstrated style momentum within equity markets. This paper reports significant momentum profits among style portfolios of multiple asset classes, showing 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 autocorrelations of style returns. We interpret this result as being more consistent with underreaction models than with excess comovement and performance chasing models.