On Style Momentum Strategies

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.