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The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets

  • Ron Bird
  • Jonathan Whitaker
Chapter

Abstract

Over the last 25 years there have been numerous studies that have identified various market anomalies, many of which have given rise to a new quantitative investment strategy. This paper concentrates on the two most prolific of these strategies: value investing and momentum investing, whose performance is evaluated in the major European markets over the intersesting period from January 1990 to June 2002. The first decade of the sample period was characterised by a consistently rising market, with the European markets rising on average by 12.5 per cent per annum but this period was followed by a rapid (still on-going) market correction, with the European markets falling on average by 12 per cent per annum over the first two and a half years of the new millennium.1

Keywords

Earning Forecast Weighted Portfolio Earning Growth Momentum Strategy Forecast Revision 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© The Editor(s) 2016

Authors and Affiliations

  • Ron Bird
    • 1
    • 2
  • Jonathan Whitaker
    • 3
  1. 1.School of Finance and EconomicsUniversity of TechnologySydneyAustralia
  2. 2.Australian National UniversityAustralia
  3. 3.GT CapitalMelbourneAustralia

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