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Publicação
Momentum meets value investing in a small European market
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Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Value-growth effect Momentum effect Macroeconomic factors Stock market Portugal
Contexto Educativo
Citação
Lobão, Júlio e Marcos Azeredo (2018). "Momentum meets value investing in a small European market". Portuguese Economic Journal, 17(1):45-58
Editora
Springer Verlag