Style migration in Europe

This paper complements the 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 uncover outperforming stocks ex ante, and provides preliminary evidence on the probability of migration, but only for small stocks.

Attached full text: This is the peer reviewed version of the following article: Broussard, J. P., Mikkonen, J. and Puttonen, V. (2016), Style Migration in Europe. European Financial Management. doi: 10.1111/eufm.12083, which has been published in final form at http://doi.org/10.1111/eufm.12083. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (http://olabout.wiley.com/WileyCDA/Section/id-820227.html#terms).

Article first published online: 21 JAN 2016