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Cited by 969

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

Style investing

Open access
Barberis, Nicholas, Shleifer, Andrei·2003·Journal of Financial Economics
DOI 10.1016/s0304-405x(03)00064-3
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Abstract

We study asset prices in an economy where some investors classify risky assets into di(cid:11)erent styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can a(cid:11)ect the prices of other apparently unrelated styles, that assets in the same style will comove too much while assets in di(cid:11)erent styles comove too little, and that high average returns on a style will be associated with common factors for reasons unrelated to risk. They also lead to a rich pattern of own- and cross- autocorrelations, sample premia that can be very di(cid:11)erent from true premia, and imply that style momentum strategies will be pro(cid:12)table. We use our model to shed light on many puzzling features of the data.

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Metadata

Authors
Barberis, N., & Shleifer, A.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2003-05
Volume
68
Issue
2
Pages
161-199
ISSN
0304-405X (ISSN-L)
DOI
10.1016/s0304-405x(03)00064-3
OpenAlex
W4242545938
Cited by
969
References
3
FWCI
33.67
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Style investing. https://app.cochat.ai/papers/10.1016/s0304-405x(03)00064-3
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Barberis, N., & Shleifer, A. (2003). Style investing. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(03)00064-3

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.