Style Migration in Europe

John Broussard, Jussi Mikkonen and Vesa Puttonen

European Financial Management, 2016, vol. 22, issue 5, 797-816

Abstract: 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.

Date: 2016
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