Style migration in Europe

Broussard, John Paul, Mikkonen, Jussi and Puttonen, Vesa (2016) Style migration in Europe. European Financial Management . ISSN 1468-036X [Article] (Published online first) (doi:10.1111/eufm.12083)

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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.

Item Type: Article
Additional Information: Article first published online: 21 JAN 2016
Research Areas: A. > Business School > Accounting and Finance
Item ID: 19685
Notes on copyright: Attached full text: This is the peer reviewed version of the following article: Broussard, J. P., Mikkonen, J. and Puttonen, V. (2016), Style Migration in Europe. European Financial Management. doi: 10.1111/eufm.12083, which has been published in final form at http://doi.org/10.1111/eufm.12083. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (http://olabout.wiley.com/WileyCDA/Section/id-820227.html#terms).
Depositing User: Bernadett Dunn
Date Deposited: 03 May 2016 10:49
Last Modified: 09 Jun 2021 16:44
URI: https://eprints.mdx.ac.uk/id/eprint/19685

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