Style Migration in Europe

Broussard, John Paul; Mikkonen, Jussi; Puttonen, Vesa

doi:10.2139/ssrn.2208366

Style Migration in Europe

30 Pages Posted: 30 Jan 2013 Last revised: 15 Nov 2013

See all articles by John Paul Broussard

John Paul Broussard

University of Oklahoma; Rutgers University; Estonian Business School

Vesa Puttonen

Aalto University - School of Business

There are 2 versions of this paper

Date Written: November 15, 2013

Abstract

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

Broussard, John Paul and Mikkonen, Jussi and Puttonen, Vesa, Style Migration in Europe (November 15, 2013). Available at SSRN: https://ssrn.com/abstract=2208366 or http://dx.doi.org/10.2139/ssrn.2208366