Cross-Asset Style Momentum
This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper reveal that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon. This paper also presents a new assessment of alternative theories of momentum. Using the framework previously established by Lewellen (2002), the results of this paper show that cross-asset style momentum profits are consistent with the underreaction hypothesis, but not with the excess comovement theory of Lewellen (2002) or the style investing theory of Barberis and Shleifer (2003).
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