In the first essay, I document sample-specific and time period-specific style returns in two distinct sets of U.S. equities: Fama and French style portfolios and the S&P 1500 style indexes. The value and size effects are apparent in the Fama and French portfolios. Only the size effect is evident in the S&P data. In general, the Fama and French style returns are greater than those of the S&P 1500 styles. Style returns tend to be time-varying and exhibit momentum over a variety of formation period-holding period horizons. In the second essay, I utilize a bootstrap procedure to test for the presence of styleswitchers - as defined in Barberis and Shleifer (2003). I document style winner and loser continuations. There are some periods when no matter which particular style won (lost) in the past, it is more likely to continue winning (losing) in the future. I 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. While many style momentum strategies 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. I 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 the third essay, I identify and test explanatory factors that potentially predict style momentum returns. Several macroeconomic, relative dispersion, market related and volatility related factors are associated with future short-term style momentum returns. Interactions of many of these variables with market and monetary state indicator variables are significant in theregressions as well.
| Date of Award | Dec 14 2010 |
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| Original language | English |
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| Supervisor | Charles Collver (Supervisor), Jack De Jong (Advisor) & Darshana Palkar (Advisor) |
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