Momentum meets value investing in a small European market
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15783 |
Resumo: | 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. |
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Momentum meets value investing in a small European marketValue-growth effectMomentum effectMacroeconomic factorsStock marketPortugalIn 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.Springer VerlagRepositório da Universidade de LisboaLobão, JúlioAzeredo, Marcos2018-07-03T10:42:13Z2018-032018-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15783engLobão, Júlio e Marcos Azeredo (2018). "Momentum meets value investing in a small European market". Portuguese Economic Journal, 17(1):45-581617-982X (print)10.1007/s10258-017-0132-2metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-28T01:31:03Zoai:www.repository.utl.pt:10400.5/15783Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:21.678426Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Momentum meets value investing in a small European market |
title |
Momentum meets value investing in a small European market |
spellingShingle |
Momentum meets value investing in a small European market Lobão, Júlio Value-growth effect Momentum effect Macroeconomic factors Stock market Portugal |
title_short |
Momentum meets value investing in a small European market |
title_full |
Momentum meets value investing in a small European market |
title_fullStr |
Momentum meets value investing in a small European market |
title_full_unstemmed |
Momentum meets value investing in a small European market |
title_sort |
Momentum meets value investing in a small European market |
author |
Lobão, Júlio |
author_facet |
Lobão, Júlio Azeredo, Marcos |
author_role |
author |
author2 |
Azeredo, Marcos |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Lobão, Júlio Azeredo, Marcos |
dc.subject.por.fl_str_mv |
Value-growth effect Momentum effect Macroeconomic factors Stock market Portugal |
topic |
Value-growth effect Momentum effect Macroeconomic factors Stock market Portugal |
description |
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. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-07-03T10:42:13Z 2018-03 2018-03-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15783 |
url |
http://hdl.handle.net/10400.5/15783 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Lobão, Júlio e Marcos Azeredo (2018). "Momentum meets value investing in a small European market". Portuguese Economic Journal, 17(1):45-58 1617-982X (print) 10.1007/s10258-017-0132-2 |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
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metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131102197055488 |