The performance of value and momentum investment portfolios: recent experience in the major European markets.
In a previous paper ('The Performance of Value and Momentum Investment:Portfolios: Recent Experience in the Major European Markets', Journal of AssetManagement, 4(4), 221-46, 2003), the authors found that simple value and momentuminvestment strategies achieved good performance when applied to the major Europeanmarkets since 1990. This paper extends this analysis to more complex strategiesinvolving a combination of value and momentum investing, which were found to beparticularly complementary and so give rise to exceptional investment outcomes. It issuggested that the findings support the existence of a value/momentum cycle along thelines of that proposed by Swaminathan and Lee ('Do Stock Prices Overreact toEarnings News?' Cornell Graduate School of Management Working Paper, 2000) andthat this has very real implications for how managers might enhance either value orgrowth investment strategies.
Year of publication: |
2006
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Authors: | Bird Ronald ; Whitaker Jonathan |
Publisher: |
International Water Association |
Saved in:
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