| Popis: |
We utilize a bootstrap procedure to test for the presence of style-switchers – as defined in Barberis and Shleifer (2003) – in U.S. and Asian emerging equity markets. We document style winner and loser continuations in two distinct sets of U.S. portfolios: the S&P 1500 and the Fama and French 5-by-5 size and book-to-market portfolios. However, our bootstrap experiments provide only modest evidence of style continuation in a sample of Asian emerging markets. We also test some Barberis and Shleifer (2003) propositions regarding style momentum. One proposition holds that Sharpe ratios from style-level momentum strategies should be at least as large as asset-level momentum Sharpe ratios. We test for style-level momentum in both the U.S. and emerging Asia. While many style momentum strategies in the U.S. sample generate significant returns, the implied Sharpe ratios are lower than those reported for asset-level momentum strategies. The Barberis and Shleifer (2003) model also suggests that style momentum could be time-varying. We condition style momentum returns on January, lagged market state, lagged monetary policy changes and lagged changes in relative dispersion and find significant conditional style-level momentum in our U.S. samples and some Asian emerging markets but not others. We attribute the weaker style momentum results in emerging Asia to a lack of country-level style-specific derivatives in these markets. |
