The performance of value and momentum investment portfolios: Recent experience in the major European markets

The authors use the equity returns of major European markets over the period 1990 - 2002 to study various value and momentum strategies.

For value, they found that the use of book-to-market and sales-to-price criterion perform better than dividend yield and earnings yield.  Even when adjusting for size and country bias, "cheaper" stocks significantly outperform the "expensive" stocks.

For momentum, they looked at price momentum (on a 6-month and 12-month criteria) and earnings momentum (agreement measures and forecast revisions).  Even when adjusting for size and country bias, "past winners" significantly outperform "past losers".  The past winners are typically "growth" and large-cap biased, and they perform best at 6-12 month holding periods.

Bird, R., & Whitaker, J. (2003). The performance of value and momentum investment portfolios: Recent experience in the major European markets. Journal of Asset Management, 4(4), 221–246.