Publicação
Momentum meets value investing in a small European market
| dc.contributor.author | Lobão, Júlio | |
| dc.contributor.author | Azeredo, Marcos | |
| dc.date.accessioned | 2018-07-03T10:42:13Z | |
| dc.date.available | 2018-07-03T10:42:13Z | |
| dc.date.issued | 2018-03 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Lobão, Júlio e Marcos Azeredo (2018). "Momentum meets value investing in a small European market". Portuguese Economic Journal, 17(1):45-58 | pt_PT |
| dc.identifier.doi | 10.1007/s10258-017-0132-2 | pt_PT |
| dc.identifier.issn | 1617-982X (print) | |
| dc.identifier.issn | 1617-9838 (online) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/15783 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer Verlag | pt_PT |
| dc.subject | Value-growth effect | pt_PT |
| dc.subject | Momentum effect | pt_PT |
| dc.subject | Macroeconomic factors | pt_PT |
| dc.subject | Stock market | pt_PT |
| dc.subject | Portugal | pt_PT |
| dc.title | Momentum meets value investing in a small European market | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Lisboa | pt_PT |
| oaire.citation.endPage | 58 | pt_PT |
| oaire.citation.issue | 1 | pt_PT |
| oaire.citation.startPage | 45 | pt_PT |
| oaire.citation.title | Portuguese Economic Journal | pt_PT |
| oaire.citation.volume | 17 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |