期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2000
卷号：2000
出版社：Harvard Institute of Economic Research
摘要：We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated styles, that assets in the same style will comove too much while assets in different styles comove to 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 different from true premia, and imply that style momentum strategies will be profitable. We use our model to shed light on many puzzling features of the data.
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