Style Migration in Europe

Style Migration in Europe

This paper complements the literature on style migration by examining value and size premiums throughout Europe. Information from more than 25 European markets indicates an average value premium of 9.58% per year. The primary determinants of the persistent value outperformance are: 1) value firms mi...

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Veröffentlicht in:European financial management : the journal of the European Financial Management Association 2016-11, Vol.22 (5), p.797-816
Hauptverfasser: Broussard, John Paul, Mikkonen, Jussi, Puttonen, Vesa
Format: Artikel
Sprache:eng
Schlagworte:
Europe
F_SCORE
Financial management
growth
Growth stocks
migration
Portfolio management
Securities markets
Stock
Stocks
value
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Beschreibung
Zusammenfassung:This paper complements the literature on style migration by examining value and size premiums throughout Europe. Information from more than 25 European markets indicates an average value premium of 9.58% per year. The primary determinants of the persistent value outperformance are: 1) value firms migrating to a neutral or growth portfolio, and 2) growth stocks migrating to neutral or value portfolios. The financial health metric F_SCORE helps uncover outperforming stocks ex ante, and provides preliminary evidence on the probability of migration, but only for small stocks.
ISSN:1354-7798
1468-036X
DOI:10.1111/eufm.12083