Value Enhancement Using Momentum Indicators: The European Experience

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Show simple item record Casavecchia, Lorenzo en_US Bird, Ron en_US 2009-12-21T02:38:07Z 2009-12-21T02:38:07Z 2007 en_US
dc.identifier 2006014957 en_US
dc.identifier.citation Bird Ronald and Casavecchia Lorenzo 2007, 'Value Enhancement Using Momentum Indicators: The European Experience', Emerald Group Publishing, vol. 3, no. 3, pp. 229-262. en_US
dc.identifier.issn 1743-9132 en_US
dc.identifier.other C1 en_US
dc.description.abstract Abstract: Purpose The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and isolating those growth stocks that still have some period to run). Design/methodology/approach The paper uses the traditional methodology of ranking stocks on the basis of certain value and momentum measures (e.g. book-to-market, market return over some prior period), forming portfolios based on these rankings which are held for a specific period of time. The portfolios are formed on the basis of a single measure of multiple measures and the returns and associated p-values are calculated with the objective of determining how these portfolios perform relative to a benchmark portfolio composed of all the companies in the universe. The analysis is conducted on a database consisting of approximately 8,000 companies drawn from 15 European countries over the period from January 1989 to May 2004. en_US
dc.publisher Emerald Group Publishing en_US
dc.relation.isbasedon en_US
dc.title Value Enhancement Using Momentum Indicators: The European Experience en_US
dc.parent International Journal of Managerial Finance en_US
dc.journal.volume 3 en_US
dc.journal.number 3 en_US
dc.publocation Bradford, UK en_US
dc.identifier.startpage 229 en_US
dc.identifier.endpage 262 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150201 en_US
dc.personcode 981118 en_US
dc.personcode 044274 en_US
dc.percentage 100 en_US Finance en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Earnings, Investments, Portfolio investment, Stock markets, Stock prices, Stocks en_US
dc.staffid 044274 en_US

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