Style investing, momentum, and co-movement

Document Type

Syllabus

Publication Date

4-8-2024

Abstract

Investors and professional money managers typically categorize assets into different styles to facilitate portfolio management and capital allocations. As these market participants move funds among assets of different styles based on their relative performance, correlated trading generates return co-movement and style momentum. This chapter reviews existing theories on style investing and important findings. In particular, it presents new evidence in a large bond market and demonstrates that behavioral finance theory can help explain return co-movement and momentum in the bond market traditionally dominated by institutional and long-term investors who are thought to be less behaviorally biased.

Identifier

85201500365 (Scopus)

ISBN

[9789811269943, 9789811269936]

Publication Title

Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)

External Full Text Location

https://doi.org/10.1142/9789811269943_0054

First Page

1735

Last Page

1754

Volume

2-4

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