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.

The performance of value and momentum investment portfolios

The authors build portfolios of stocks that are characterized by both value and momentum factors and determine they outperform.  The thought is that value and momentum factors are opposing (i.e., momentum is typically associated with growth rather than value stocks).  By selecting stocks with both attributes, they form portfolios with components that are less correlated; and in addition, they buy cheap stocks when they are on the rise, which may be a more appropriate time to buy them than when they are falling.

Bird, R., & Whitaker, J. (2004). The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2. Journal of Asset Management, 5(3), 157–175.