Abstract
Over the last 25 years there have been numerous studies that have identified various market anomalies, many of which have given rise to a new quantitative investment strategy. This paper concentrates on the two most prolific of these strategies: value investing and momentum investing, whose performance is evaluated in the major European markets over the intersesting period from January 1990 to June 2002. The first decade of the sample period was characterised by a consistently rising market, with the European markets rising on average by 12.5 per cent per annum but this period was followed by a rapid (still on-going) market correction, with the European markets falling on average by 12 per cent per annum over the first two and a half years of the new millennium.1
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Bird, R., Whitaker, J. (2016). The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets. In: Satchell, S. (eds) Asset Management. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-30794-7_7
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DOI: https://doi.org/10.1007/978-3-319-30794-7_7
Publisher Name: Palgrave Macmillan, Cham
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