The weakening value premium in the Australian and New Zealand stock markets

被引：5
|
作者：
Chung, Yi-Tsai [1 ]
Hsu, Chuan-Hao [2 ]
Ke, Mei-Chu [3 ]
Liao, Tung Liang [2 ]
Chiang, Yi-Chein [4 ]
机构：
[1] Ling Tung Univ, Dept Business Adm, Taichung, Taiwan
[2] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan
[3] Natl Chin Yi Univ Technol, Dept Ind Engn & Management, 57,Sec 2,Zhongshan Rd, Taichung 41170, Taiwan
[4] Feng Chia Univ, Dept Int Trade, Taichung 40724, Taiwan
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2016年 / 36卷
关键词：
Value premium; Sharpe ratio; CAPM alpha; Stochastic dominance; STOCHASTIC-DOMINANCE ANALYSIS; INSTITUTIONAL INVESTORS; CROSS-SECTION; EQUITY PRICES; RETURNS; GROWTH; RISK; EFFICIENCY; SIZE; ANOMALIES;
D O I：
10.1016/j.pacfin.2015.12.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Some recent studies document that the value or size anomaly has reversed, weakened or disappeared in a number of major stock markets since the 1990s. Two risk-adjusted methods, the Sharpe ratio and the CAPM model, and a non-risk-adjusted method, the stochastic dominance (SD) approach, are used to examine whether the value premium still exists in two Oceanian stock markets, the Australian and New Zealand (NZ) markets, in recent times in this study. Our main findings demonstrate that the value premium of the Australian and NZ markets has become weak in the recent period. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：123 / 133
页数：11
相关论文
共 50 条
12345