Style Migration in Europe
30 Pages Posted: 30 Jan 2013 Last revised: 15 Nov 2013
Date Written: November 15, 2013
This paper complements the existing 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 discover outperforming stocks ex ante, and provides preliminary evidence on the probability of migration.
Keywords: Migration, style, value, growth
JEL Classification: G11, G15
Suggested Citation: Suggested Citation