Style Effects

Teo, Melvyn; Woo, Sung-Jun

doi:10.2139/ssrn.286673

Cited by 24 publications

(1 citation statement)

References 42 publications

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“…For example, Rosenberg, Reid, and Lanstein (1985), Fama and French (1992), Lakonishok, Shleifer, and Vishny (1994), and Roll (1997), among others, examine the long-term relative performances among growth, value, and small-and large-cap stocks. Meanwhile, the potential success of style rotation strategies has also attracted numerous studies (e.g., Beinstein (1995), Fan (1995), Sorensen and Lazzara (1995), Leinweber, Arnott, and Luck (1997), Kao and Shumaker (1999), Levis and Liodakis (1999), Asness, Friedman, Krial, and Liew (2000), Ahmed, Lockwood, and Nanda (2002), Lucas, Dijk, and Kloek (2002), and Teo and Woo (2002)). These studies conclude that various strategies of rotating across equity styles generate significant returns and suggest that relative performances between asset classes are time varying and predictable.…”

Section: Introductionmentioning

confidence: 99%

Multifactor Evaluation of Style Rotation

Wang¹

2005

J. Financ. Quant. Anal.

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A growing literature documents that various strategies of rotating across equity styles generate significant returns. However, the conventional risk adjustment regression is problematic in evaluating the gains from style rotation. I propose a weight-based multifactor risk adjustment approach as a solution. When interpreted as a performance attribution procedure, this approach extends Sharpe's (1992) classic method by emphasizing factor loading rotation. I use a logit-based timing strategy to show that the conventional procedure produces misleading results and the new method leads to the opposite conclusion.

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Section: Introductionmentioning

confidence: 99%

Multifactor Evaluation of Style Rotation

Wang¹

2005

J. Financ. Quant. Anal.

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Style momentum within the S&P-500 index

Chen¹,

Bondt²

2004

Journal of Empirical Finance

117

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Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change

2009

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INSEADTraditional portfolio balance theory derives a downward sloping currency demand function from limited international asset substitutability. Historically, this theory enjoyed little empirical support. We provide direct evidence by examining the exchange rate effect of a major redefinition of the MSCI Global Equity Index in 2001 and 2002. The index redefinition implied large changes in the representation of different countries in the MSCI Global Equity Index and therefore produced strong exogenous equity flows by index funds. Our event study reveals that countries with a relatively increasing equity representation experienced a relative currency appreciation upon announcement of the index change. Moreover, stock markets that are upweighted (downweighted) feature a higher (lower) permanent comovement of their currency with the basket of other MSCI currencies. (JEL F21, F31, G11, G15) To what extent do exogenous demand shocks move financial market prices? Can they propagate from one asset class to another? These are the questions we address in this article. The first question-commonly referred to as the resilience of a market-has been examined extensively for individual equity prices. 1 Much less is known about the resilience of macroeconomic prices such as exchange rates. 2 Yet exchange rates are particularly important and their Johann-Ruben Schaser provided outstanding research assistance. We also thank Tamas Calderwook from MSCI for his generous help with the MSCI data. Francis Breedon and Paolo Vitale assisted us with the orderflow data. Helpful comments were provided by seminar participants at the Western Finance Association Meetings (2005), Saïd Business School (Oxford University), Brandeis University, and Humboldt University (Berlin). Send correspondence to Harald Hau, Massimo Massa, and Joel Peress, Department of Finance, Boulevard de Constance, 77305 Fontainebleau Cedex, France; massimo.massa@insead.edu, joel.peress@insead.edu. 1 We use the term "resilience" here to denote the price impact with respect to uninformative demand shocks as opposed to market depth, which refers to the price impact of general orderflow (from both informed and uninformed investors).2 It is by no means clear how resilient currencies are. On the one hand, a large literature shows that the demand for stocks slopes down (i.e., their resilience is limited). On the other hand, currencies are viewed as the most liquid C The

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Style Effects

Cited by 24 publications

References 42 publications

Multifactor Evaluation of Style Rotation

Multifactor Evaluation of Style Rotation

Style momentum within the S&P-500 index

Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change

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