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

页码：123 / 133

页数：11

共 50 条

[21] Stock prices and the equity premium during the recent bull and bear markets
Kopcke, RW
Rutledge, MS
NEW ENGLAND ECONOMIC REVIEW, 2004, (01): : 63 - +
[22] Nexus between carbon, stock, and energy markets in New Zealand: An analysis of causal domains
Tao, Miaomiao
Poletti, Stephen
Sheng, Mingyue Selena
Wen, Le
ENERGY, 2024, 299
[23] The long-run performance of the New Zealand stock markets: 1899-2013
Frijns, Bart
Tourani-Rad, Alireza
PACIFIC ACCOUNTING REVIEW, 2016, 28 (01) : 59 - 70
[24] Underpinning New Zealand's psychic premium
Richards, BR
PROCEEDINGS OF THE FIFTIETH NEW ZEALAND PLANT PROTECTION CONFERENCE, 1997, : 1 - 5
[25] International evidence on the association of leverage with stock returns and the value premium
Garcia-Feijoo, Luis
Jansen, Benjamin A.
FINANCIAL REVIEW, 2023, 58 (02) : 315 - 341
[26] STRATEGIC MOTIVATIONS OF AUSTRALIAN AND NEW ZEALAND MANUFACTURING FOREIGN DIRECT INVESTMENTS IN INTERNATIONAL MARKETS
Tahir, Rizwan
Chen, Weijing
ASIAN ACADEMY OF MANAGEMENT JOURNAL, 2011, 16 (02) : 131 - 148
[27] Value premium and implied equity duration in the Japanese stock market
Fukuta, Yuichi
Yamane, Akiko
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2015, 39 : 102 - 121
[28] The value premium, aggregate risk innovations, and average stock returns
Lindaas, Knut F.
Simlai, Prodosh
FINANCE RESEARCH LETTERS, 2014, 11 (03) : 303 - 317
[29] STOCK MARKETS - NEW DANGER
不详
ECONOMIC AND POLITICAL WEEKLY, 1993, 28 (50) : 2688 - 2688
[30] Stock markets in the new economy
Jovanovic, B
Rousseau, PL
TECHNOLOGY AND THE NEW ECONOMY, 2002, : 9 - 48

← 1 2 3 4 5 →