Style Migration in Europe

John Paul Broussard, Jussi Mikkonen, Vesa Puttonen

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

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.
Original languageEnglish
Peer-reviewed scientific journalEuropean Financial Management
Volume22
Issue number5
Pages (from-to)797-816
Number of pages20
ISSN1354-7798
DOIs
Publication statusPublished - 2016
MoE publication typeA1 Journal article - refereed

Keywords

  • 512 Business and Management

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  • Cite this

    Broussard, J. P., Mikkonen, J., & Puttonen, V. (2016). Style Migration in Europe. European Financial Management, 22(5), 797-816. https://doi.org/10.1111/eufm.12083