Contrarian Investment Strategies in a European Context

I. Brouwer, J. van der Put, C.H. Veld

Research output: Working paperDiscussion paperOther research output

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Abstract

In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market (B/M) ratio and the dividend yield.This outperformance is especially remarkable for the CF/P ratio, which amounts to 20.8% between the top and bottom quintiles in an univariate model.In a regression analysis, in which all four value variables as well as a correction for the size effect are taken into account, we find a difference of 11.8% for the CF/P ratio.We demonstrate that this result can not be explained by risk differences alone.Our findings confirm the outperformance of value strategies as found earlier by Chan, Hamao and Lakonishok (1991) and Lakonishok, Shleifer and Vishny (1994) for Japan and the United States respectively.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages19
Volume1996-36
Publication statusPublished - 1996

Publication series

NameCentER Discussion Paper
Volume1996-36

Fingerprint

Investment strategy
Cash flow
Book-to-market ratio
Germany
Dividend yield
Japan
France
Regression analysis
European countries
The Netherlands

Keywords

  • international financial markets
  • capital asset pricing
  • investment

Cite this

Brouwer, I., van der Put, J., & Veld, C. H. (1996). Contrarian Investment Strategies in a European Context. (CentER Discussion Paper; Vol. 1996-36). Tilburg: Finance.
Brouwer, I. ; van der Put, J. ; Veld, C.H. / Contrarian Investment Strategies in a European Context. Tilburg : Finance, 1996. (CentER Discussion Paper).
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Brouwer, I, van der Put, J & Veld, CH 1996 'Contrarian Investment Strategies in a European Context' CentER Discussion Paper, vol. 1996-36, Finance, Tilburg.

Contrarian Investment Strategies in a European Context. / Brouwer, I.; van der Put, J.; Veld, C.H.

Tilburg : Finance, 1996. (CentER Discussion Paper; Vol. 1996-36).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

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AU - van der Put, J.

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N2 - In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market (B/M) ratio and the dividend yield.This outperformance is especially remarkable for the CF/P ratio, which amounts to 20.8% between the top and bottom quintiles in an univariate model.In a regression analysis, in which all four value variables as well as a correction for the size effect are taken into account, we find a difference of 11.8% for the CF/P ratio.We demonstrate that this result can not be explained by risk differences alone.Our findings confirm the outperformance of value strategies as found earlier by Chan, Hamao and Lakonishok (1991) and Lakonishok, Shleifer and Vishny (1994) for Japan and the United States respectively.

AB - In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market (B/M) ratio and the dividend yield.This outperformance is especially remarkable for the CF/P ratio, which amounts to 20.8% between the top and bottom quintiles in an univariate model.In a regression analysis, in which all four value variables as well as a correction for the size effect are taken into account, we find a difference of 11.8% for the CF/P ratio.We demonstrate that this result can not be explained by risk differences alone.Our findings confirm the outperformance of value strategies as found earlier by Chan, Hamao and Lakonishok (1991) and Lakonishok, Shleifer and Vishny (1994) for Japan and the United States respectively.

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KW - investment

M3 - Discussion paper

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Brouwer I, van der Put J, Veld CH. Contrarian Investment Strategies in a European Context. Tilburg: Finance. 1996. (CentER Discussion Paper).