The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2

Ron Bird and Jonathan Whitaker

Journal of Asset Management, 2004, vol. 5, issue 3, No 3, 157-175

Abstract: Abstract In a previous paper (‘The Performance of Value and Momentum Investment: Portfolios: Recent Experience in the Major European Markets’, Journal of Asset Management, 4(4), 221–46, 2003), the authors found that simple value and momentum investment strategies achieved good performance when applied to the major European markets since 1990. This paper extends this analysis to more complex strategies involving a combination of value and momentum investing, which were found to be particularly complementary and so give rise to exceptional investment outcomes. It is suggested that the findings support the existence of a value/momentum cycle along the lines of that proposed by Swaminathan and Lee (‘Do Stock Prices Overreact to Earnings News?’ Cornell Graduate School of Management Working Paper, 2000) and that this has very real implications for how managers might enhance either value or growth investment strategies.

Keywords: value investing; momentum investing; complementary; European markets; performance (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240136 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:5:y:2004:i:3:d:10.1057_palgrave.jam.2240136

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

DOI: 10.1057/palgrave.jam.2240136

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 ().