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Style investing

Author: Nicholas Barberis; Andrei Shleifer; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2000.
Series: Working paper series (National Bureau of Economic Research), no. 8039.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: 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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nicholas Barberis; Andrei Shleifer; National Bureau of Economic Research.
OCLC Number: 70123977
Notes: "December 2000."
Description: 1 online resource (40 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 8039.
Responsibility: Nicholas Barberis, Andrei Shleifer.

Abstract:

Abstract: 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.

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