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.
|Peer-reviewed scientific journal||European Financial Management|
|Number of pages||20|
|Publication status||Published - 2016|
|MoE publication type||A1 Journal article - refereed|
- 512 Business and Management