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

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