Style momentum within the S&P-500 index

Journal of Empirical Finance

Volumn 11, Issue 4, 2004, Pages 483-507

  Chen, Hsiu Lang ^a   De Bondt, Werner ^b  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

^b DEPAUL UNIVERSITY   (United States)

Author keywords

Equity; S P 500 index; Style momentum

Indexed keywords

EID: 3342987418     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.04.005     Document Type: Article

References (50)

1. Ahmed P. Nanda S. Style investing: Incorporating growth characteristics in value stocks Journal of Portfolio Management 2001 (Spring) 47-59
2. Arnott R.D. Kelso C.M. Kiscadden S.Jr. Macedo R. Forecasting factor returns: an intriguing possibility Journal of Portfolio Management 1989 (Fall) 28-35
3. Asness C.S. Friedman J.A. Krail R.J. Liew J.M. Style timing: value versus growth Journal of Portfolio Management 2000 (Spring) 50-60
4. Barberis N. Shleifer A. Style investing Journal of Financial Economics 68 2003 161-199
5. Berk J.B. Sorting out sorts Journal of Finance 55 2000 407-427
6. Bernard V.L. Stock price reactions to earnings announcements: a summary of recent anomalous evidence and possible explanations In: Thaler R.H. (Ed.), Advances in Behavioral Finance 1993 303-340 Russell Sage Foundation New York, New York
7. Bernstein R. Style Investing 1995 Wiley New York
8. Birch R. Managing equity style exposure: a plan sponsor's experience In: Klein R.A. Lederman J. (Eds.), Equity Style Management 1995 421-432 Irwin Chicago
9. Carhart M. On persistence in mutual fund performance Journal of Finance 52 1997 57-82
10. Chan L.K.C. Chen H.-L. Lakonishok J. On mutual fund investment styles Review of Financial Studies 15 2002 1407-1437
11. Chen H.-L. On characteristics momentum Journal of Behavioral Finance 4 2003 137-156
12. Chen H.-L. Jegadeesh N. Wermers J. The value of active mutual fund management: an examination of the stockholdings and trades of fund managers Journal of Financial and Quantitative Analysis 35 2000 343-368
13. Chordia T. Shivakumar L. Momentum, business cycle, and time-varying expected returns Journal of Finance 57 2002 985-1019
14. Conrad J. Kaul G. An anatomy of trading strategies Review of Financial Studies 11 1998 489-519
15. Cooper, M.J., Gulen, H., Rau, P.R., 2003. Changing names with style: Mutual fund name changes and their effects on fund flows, Working paper, Purdue University.
16. Daniel K. Titman S. Evidence on the characteristics of cross sectional variation in stock returns Journal of Finance 52 1997 1-33
17. Daniel K. Grinblatt M. Titman S. Wermers R. Measuring mutual fund performance with characteristic-based benchmarks Journal of Finance 52 1997 1035-1058
18. Davis J.L. Mutual fund performance and manager style Financial Analysts Journal 2001 (January/February) 19-27
19. Davis J.L. Eugene F.F. French K.R. Characteristics, covariances, and average returns: 1929 to 1997 Journal of Finance 55 2000 389-406
20. De Bondt W.F.M. Thaler R.H. Does the stock market overreact? Journal of Finance 40 1985 793-808
21. De Bondt W.F.M. Thaler R.H. Further evidence on investor overreaction and stock market seasonality Journal of Finance 42 1987 557-581
22. DiBartolomeo D. Witkowski E. Mutual fund misclassification: evidence based on style analysis Financial Analysts Journal 1997 (September-October) 32-43
23. Fama E.F. French K.R. The cross-section of expected stock returns Journal of Finance 47 1992 427-465
24. Fama E.F. French K.R. Multifactor explanations of asset pricing anomalies Journal of Finance 51 1996 55-84
25. Fisher K. Toms J. Blount K. Driving factors behind style-based investing In: Klein R.A. Lederman J. (Eds.), Equity Style Management 1995 479-505 Irwin Chicago
26. Gertler M. Gilchrist S. Monetary policy, business cycles, and the behavior of small manufacturing firms Quarterly Journal of Economics 109 1994 309-340
27. Grundy, B.D., Martin, J.S., 2001. Understanding the Nature of the Risks and the Source of the Rewards in Momentum Investing, 14, 29-78.
28. Haugen R.A. Baker N.L. Commonality in the determinants of expected stock returns Journal of Financial Economics 41 1996 401-440
29. Hong H. Lim T. Stein J. Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies Journal of Finance 55 2000 265-295
30. Jain P.C. Wu J.S. Truth in mutual fund advertising: evidence on future performance and fund flows Journal of Finance 55 2000 937-958
31. Jegadeesh N. Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency Journal of Finance 48 1993 65-91
32. Jegadeesh N. Titman S. Profitability of momentum strategies: an evaluation of alternative explanations Journal of Finance 56 2001 699-720
33. Jensen G.R. Johnson R.R. Mercer J.M. The inconsistency of small-firm and value stock premiums Journal of Portfolio Management 1998 (Winter) 27-36
34. Johnson T.C. Rational momentum effects Journal of Finance 57 2002 585-608
35. Kao D.-L. Shumaker R.D. Equity style timing Financial Analysts Journal 1999 (January/February) 37-48
36. Lee C.M.C. Swaminathan B. Price momentum and trading volume Journal of Finance 55 2000 2017-2069
37. Levis M. Liodakis M. The profitability of style rotation strategies in the United Kingdom Journal of Portfolio Management 1999 (Fall) 73-86
38. Lewellen J. Momentum and autocorrelation in stock returns Review of Financial Studies 15 2002 533-563
39. Liew J. Vassalou M. Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics 57 2000 221-245
40. Lucas A. van Dijk R. Kloek T. Stock selection, style rotation, and risk Journal of Empirical Finance 9 2002 1-34
41. Moskowitz T. Grinblatt M. Do industries explain momentum? Journal of Finance 54 1999 1249-1290
42. Perez-Quiros G. Timmermann A. Firm size and cyclical variations in stock returns Journal of Finance 55 2000 1229-1262
43. Pesaran H.H. Timmermann A. Predictability of stock returns: Robustness and economic significance Journal of Finance 50 1995 1201-1228
44. Ramaswami M. Return enhancement through size and style management In: Fogler H.R. (Ed.), Blending Quantitative and Traditional Equity Analysis (AIMR) 1994
45. Roll R. Style return differentials: illusions, risk premiums, or investment opportunities? In: Coggin T.D. Fabozzi F.J. (Eds.), The Handbook of Equity Style Management 1995 99-128 Frank J. Fabozzi Associates New Hope
46. Sharpe W.F. Asset allocation: Management style and performance measurement Journal of Portfolio Management 1992 (Winter) 7-19
47. Sirri E.R. Tufano P. Costly search and mutual fund flows Journal of Finance 53 1998 1589-1622
48. Talley K. Small caps within the S&P-500 help buoy the index Wall Street Journal 2002 (April 15)
49. Tam P.-W. Excuse me, sir! But there are tech stocks in my bond fund Wall Street Journal 2000 (February 14) C1
50. Teo, M., and Woo, S.-J. 2001, Style effects, Working paper, Department of Economics, Harvard University.