Style investing comovement and return predictability in governance

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style investing comovement and return predictability in governance

“Style investing, comovement and return predictability,” co-authored with M. Deniz. Yavuz, Journal of Financial Economics. , , In our economy, assets in the same style comove too much, In our model, style investing generates common factors in the returns of assets that happen to. We study asset prices in an economy where some investors categorize risky assets into different styles and move funds among these styles depending on their. CRYPTOCURRENCY MARKET CAP HISTORY

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Style investing generates co-movement between individual assets and their styles. A characteristic can be an obvious one such as the country in which the security is traded, or the industry in which the firm operates. Value investing is well-known and emerged as a distinctive equity style following the work of Graham and Dodd Styles enable institutional investors to organize and simplify their portfolio allocation decisions, as well as to measure and evaluate the performance of professional managers relative to standardized style benchmarks.

Classification of securities into categories is widespread in financial markets. By focusing on the high-sentiment periods, style investing significantly affects the predictability of stock returns even during the early period of , and the significance of style investing increases during the later period of Second, the correlation between past style returns and future stock returns can explain variation in momentum profits following high levels of sentiment but not low levels of sentiment.

The profitability from the comovement-momentum based strategy under high sentiment is mainly driven by overpricing of losers socks due to short selling constraints. My findings highlight the important role of investor sentiment in pricing financial assets. These findings underscore the empirical importance of style investing.

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By focusing on the high-sentiment periods, style investing significantly affects the predictability of stock returns even during the early period of , and the significance of style investing increases during the later period of Second, the correlation between past style returns and future stock returns can explain variation in momentum profits following high levels of sentiment but not low levels of sentiment. The profitability from the comovement-momentum based strategy under high sentiment is mainly driven by overpricing of losers socks due to short selling constraints.

My findings highlight the important role of investor sentiment in pricing financial assets. These findings underscore the empirical importance of style investing. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here.

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