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Style Investing, Momentum, and Co-movement

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

Author

Listed:
  • Chunchi Wu
  • Xinyuan Tao

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.

Suggested Citation

  • Chunchi Wu & Xinyuan Tao, 2024. "Style Investing, Momentum, and Co-movement," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 54, pages 1735-1753, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789811269943_0054
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    More about this item

    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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