Style Migration in Europe
研究了欧洲超过25个市场的价值与规模溢价，发现年均价值溢价为9.58%，其持续表现主要由价值股与成长股在组合间的迁移驱动，财务健康指标F_SCORE有助于事前识别小盘股中的优胜者。
Abstract This paper complements the literature on style migration by examining value and size premiums throughout Europe. Information from more than 25 European markets indicates an average value premium of 9.58% per year. The primary determinants of the persistent value outperformance are: 1) value firms migrating to a neutral or growth portfolio, and 2) growth stocks migrating to neutral or value portfolios. The financial health metric F_SCORE helps uncover outperforming stocks ex ante, and provides preliminary evidence on the probability of migration, but only for small stocks.