The performance of value and momentum investment portfolios: recent experience in the major European markets

Bird, R; Whitaker, J

The performance of value and momentum investment portfolios: recent experience in the major European markets

Bird, R

Whitaker, J

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Publisher:: Henry Stewart
Publication Type:: Journal Article
Citation:: Journal of Asset Management, 2004, 5 (3), pp. 157 - 175
Issue Date:: 2004-01

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Field	Value	Language
dc.contributor.author	Bird, R https://orcid.org/0000-0003-0524-9377	en_US
dc.contributor.author	Whitaker, J	en_US
dc.date.issued	2004-01	en_US
dc.identifier.citation	Journal of Asset Management, 2004, 5 (3), pp. 157 - 175	en_US
dc.identifier.issn	1470-8272	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5410
dc.description.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), 22146, 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.	en_US
dc.publisher	Henry Stewart	en_US
dc.relation.ispartof	Journal of Asset Management	en_US
dc.relation.isbasedon	10.1057/palgrave.jam.2240136	en_US
dc.title	The performance of value and momentum investment portfolios: recent experience in the major European markets	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	5	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	5	en_US

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), 22146, 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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http://hdl.handle.net/10453/5410