Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence

Timo H Leivo () and Eero Pätäri
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Timo H Leivo: School of Business, Lappeenranta University of Technology

Journal of Asset Management, 2011, vol. 11, issue 6, No 5, 416 pages

Abstract: Abstract This article examines the added value of combining price momentum with various value strategies in the Finnish stock market during the period 1993–2008. The results show that taking into account the price momentum of value stocks enhances portfolio performance. Among the best-performing portfolios, the performance improvement resulting from the inclusion of a momentum indicator is the greatest for value portfolios that are formed on the basis of three-composite value measures. The risk-adjusted performance of the best value winner portfolios can be enhanced further by following the 130/30 long-short strategy. The best long-short portfolios significantly outperform the corresponding long-only value winner portfolios and more than double the average return of the stock market coupled with the volatility decrease.

Keywords: value premium; valuation multiples; momentum; value strategies; composite value measures; portfolio performance measurement (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.1057/jam.2009.38

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