On Style Momentum Strategies

F. Aarts, T. Lehnert*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

4 Citations (Web of Science)


Barberis and shleifer (2003 barberis, n and shleifer, a. 2003. Style investing. Journal of financial economics, 68: 161–99. [crossref], [web of science ®], , [google scholar]) suggest that us investors classify assets into different styles based on, for example, market capitalization or b/m ratios. They find that prices can deviate substantially from fundamental values as a style's popularity changes over time. In this paper, we discuss implications of this prediction and empirically investigate the profitability of style momentum strategies for the uk stock market. Results suggest that a simple trading rule can generate significant positive returns, but for our sample of ftse 350 stocks those strategies are less profitable and more risky compared to regular momentum strategies.
Original languageEnglish
Pages (from-to)795-799
JournalApplied Economics Letters
Issue number15
Publication statusPublished - 1 Jan 2005

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