Factor investing: A stock selection methodology for the European equity market.

ABSTRACT: This paper uses European high capitalization corporate data for the 1991-2019 period to demonstrate that a systematic active management portfolio based on the identification of value, profitability, and momentum factors can outperform competing benchmark strategies. Factor investment methodologies received significant attention in the literature in the U.S. market but their application to European corporates is more limited. The authors construct several systematic investment strategies combining different metrics measuring the three factors. Reported results show that a) combined (mixed/conditional) strategies deliver positive alphas and significantly outperform their pure strategy counterparts and b) while there exists a time changing performance of selected metrics the iterative combina

SUBMITTER: Bermejo R 

PROVIDER: S-EPMC8531567 | biostudies-literature | 2021 Oct

REPOSITORIES: biostudies-literature