Momentum meets value investing in a small European market View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-03

AUTHORS

Júlio Lobão, Marcos Azeredo

ABSTRACT

In this paper, we investigate two prominent market anomalies documented in the finance literature – the momentum effect and value-growth effect. We conduct an out-of-sample test to the link between these two anomalies recurring to a sample of Portuguese stocks during the period 1988–2015. We find that the momentum of value and growth stocks is significantly different: growth stocks exhibit a much larger momentum than value stocks. A combined value and momentum strategy can generate statistically significant excess annual returns of 10.8%. These findings persist across several holding periods up to a year. Moreover, we show that macroeconomic variables fail to explain value and momentum of individual and combined returns. Collectively, our results contradict market efficiency at the weak form and pose a challenge to existing asset pricing theories. More... »

PAGES

45-58

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10258-017-0132-2

DOI

http://dx.doi.org/10.1007/s10258-017-0132-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1084989966


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