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conditional style rotation model on enhanced value and growth
Conditional Style Rotation Model on Enhanced
Value and Growth Portfolios: The European
Experience
Ron Birda† and Lorenzo Casavecchiaa
The Paul Woolley Centre @ UTS
Working Paper Series 2
May 2008
a The Paul Woolley Centre for Capital Market Dysfunctionality, University of
Technology, Sydney,
Cnr Quay Street and Ultimo Road, PO Box 123, 2007, Sydney, Australia
ABSTRACT: Academic and professional attention has been devoted in the past to the analysis of the
potential value-enhancement generated by strategies based on macroeconomic models and applied to
portfolios or indexes of style classes. In this paper, we analyse the extent of the excess returns that can be
potentially generated by rotating a portfolio between value and growth stocks in the European markets.
We extend the results obtained by Bird and Casavecchia (Bird, R. and Casavecchia. L. (2007) Sentiment
and financial health indicators for value and growth stocks: the European experience, European Journal
of Finance, 13, pp. 769-793) when applying market sentiment and financial health indicators to stocks
and document the extent to which macroeconomic factors convey information that is not already
impounded in these indicators. We find that a strategy to rotate between portfolios, constructed on either
single valuation metrics or their enhancement by market sentiment and a company’s financial strength, is
typically consistent, monotonic, and in the expected direction. This highlights the proposition that the
macroeconomic factors capture a cross-sectional variation that is not ty
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