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The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2

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Abstract

In a previous paper (‘The Performance of Value and Momentum Investment: Portfolios: Recent Experience in the Major European Markets’, Journal of Asset Management, 4(4), 221–46, 2003), the authors found that simple value and momentum investment strategies achieved good performance when applied to the major European markets since 1990. This paper extends this analysis to more complex strategies involving a combination of value and momentum investing, which were found to be particularly complementary and so give rise to exceptional investment outcomes. It is suggested that the findings support the existence of a value/momentum cycle along the lines of that proposed by Swaminathan and Lee (‘Do Stock Prices Overreact to Earnings News?’ Cornell Graduate School of Management Working Paper, 2000) and that this has very real implications for how managers might enhance either value or growth investment strategies.

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  • Ron Bird & Jonathan Whitaker, 2004. "The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2," Published Paper Series 2004-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:2004-3
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    File URL: https://link.springer.com/article/10.1057/palgrave.jam.2240136
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    Cited by:

    1. Klaus Grobys & Topi Huhta-Halkola, 2019. "Combining value and momentum: evidence from the Nordic equity market," Applied Economics, Taylor & Francis Journals, vol. 51(26), pages 2872-2884, June.
    2. Stéphanie Desrosiers & Jean-François L'Her & Jean-François Plante, 2007. "Importance of style diversification for equity country selection," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 188-199, September.
    3. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 400-447, October.
    4. Timo H Leivo & Eero J Pätäri, 2011. "Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 401-416, February.
    5. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
    6. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
    7. Salim Chahine, 2008. "Value versus growth stocks and earnings growth in style investing strategies in Euro-markets," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 347-358, December.

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