Value Enhancement Using Momentum Indicators: The European Experience

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dc.contributor.author Bird, R
dc.contributor.author Casavecchia, L
dc.date.accessioned 2009-12-21T02:38:07Z
dc.date.issued 2007-01
dc.identifier.citation International Journal of Managerial Finance, 2007, 3 (3), pp. 229 - 262
dc.identifier.issn 1743-9132
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5420
dc.description.abstract Abstract: Purpose The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and isolating those growth stocks that still have some period to run). Design/methodology/approach The paper uses the traditional methodology of ranking stocks on the basis of certain value and momentum measures (e.g. book-to-market, market return over some prior period), forming portfolios based on these rankings which are held for a specific period of time. The portfolios are formed on the basis of a single measure of multiple measures and the returns and associated p-values are calculated with the objective of determining how these portfolios perform relative to a benchmark portfolio composed of all the companies in the universe. The analysis is conducted on a database consisting of approximately 8,000 companies drawn from 15 European countries over the period from January 1989 to May 2004.
dc.publisher Emerald Group Publishing
dc.relation.isbasedon 10.1108/17439130710756907
dc.subject Earnings, Investments, Portfolio investment, Stock markets, Stock prices, Stocks
dc.subject Earnings, Investments, Portfolio investment, Stock markets, Stock prices, Stocks
dc.title Value Enhancement Using Momentum Indicators: The European Experience
dc.type Journal Article
dc.parent International Journal of Managerial Finance
dc.journal.volume 3
dc.journal.volume 3
dc.journal.number 3 en_US
dc.publocation Bradford, UK en_US
dc.identifier.startpage 229 en_US
dc.identifier.endpage 262 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150201 Finance
dc.personcode 981118 en_US
dc.personcode 044274 en_US
dc.percentage 100 en_US
dc.classification.name Finance en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Earnings, Investments, Portfolio investment, Stock markets, Stock prices, Stocks en_US
dc.description.keywords Earnings, Investments, Portfolio investment, Stock markets, Stock prices, Stocks
dc.staffid 044274 en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance


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