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

Ron Bird and Jonathan Whitaker
Additional contact information
Jonathan Whitaker: working as a research analyst with GT Capital

Journal of Asset Management, 2003, vol. 4, issue 4, No 2, 246 pages

Abstract: Abstract Value and momentum investing are two approaches to investing which have been increasingly utilised either overtly or covertly by fund managers. Consistent with their increasing popularity, a number of academic studies have found such strategies capable of outperforming traditional benchmarks. The majority of these studies have been focused on the US market and covered the 1980s and 1990s, during which time there was a consistent upward trend in stock prices. In this paper the authors examine a wide selection of value and momentum strategies applied to the major European markets over the period from 1990 to 2002. This period captures a large upward movement followed by a significant correction. The authors find strong evidence that certain implementations of value and momentum investing performed particularly well over this period across the European markets, with the outperformance from value being confined to the correction period, while that from momentum occurred during the run up during the 1990s.

Keywords: value investing; momentum investing; European markets; performance (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240105 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:4:y:2003:i:4:d:10.1057_palgrave.jam.2240105

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240105

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().