International Value and Growth Stock Returns

Capaul, Carlo; Rowley, Ian; Sharpe, William F.

doi:10.2469/faj.v49.n1.27

Cited by 287 publications

(172 citation statements)

References 1 publication

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“…If the aggregate firm in the economy is value oriented then beta will be less than 1. This is consistent with studies which demonstrate that stocks with below market risk (low beta) yield higher risk adjusted return than predicted by the theoretical CAPM (see Black et al, 1972;Miller and Scholes, 1972), and evidence showing value firms have lower beta than growth firms (see Capaul et al, 1993).…”

supporting

confidence: 89%

Rationalizing the value premium in emerging markets

Ebrahim

Girma

Shah

et al. 2014

Journal of International Financial Markets, Institutions and Mo

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(2014) 'Rationalizing the value premium in emerging markets.', Journal of international nancial markets, institutions and money., 29 . pp. 51-70. Further information on publisher's website:http://dx.doi.org/10.1016/j.int n.2013.11.005Publisher's copyright statement: NOTICE: this is the author's version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be re ected in this document. Changes may have been made to this work since it was submitted for publication. Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Rationalizing the Value Premium in Emerging MarketsAbstract: We reconfirm the presence of value premium in emerging markets. Using the Brazil-Turkey-India-China (BTIC) grouping during a period of substantial economic growth and stock market development, we attribute the premium to the investment patterns of glamour firms. We conjecture based on empirical evidence that glamour firms hoard cash, which delays undertaking of growth options, especially in poor economic conditions. Whilst this helps to mitigate business risk, it lowers market valuations and drives down expected returns. Our evidence supports arguments that the value premium is explained by economic fundamentals rather than a risk factor that is common to all firms.JEL Classifications: G110 (Portfolio Choice; Investment Decisions), G120 (Asset Pricing).

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confidence: 89%

Rationalizing the value premium in emerging markets

Ebrahim

Girma

Shah

et al. 2014

Journal of International Financial Markets, Institutions and Mo

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“…Davis et al [1994] confirm the value effect in U. S. stock markets. Chan et al [1991] and Capaul et al [1993] confirm the value effect in markets outside the United States. The value effect is also found in stock returns by French [1998, 2012], Rouwenhorst [1999], Chui et al [2010], and Asness, Moskowitz, and Pedersen [2013].…”

Section: Introductionmentioning

confidence: 57%

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

Zaremba

Konieczka

2017

International Journal of Management and Economics

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This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining crosssectional variation in stock returns on the Polish market.

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“…A variety of explanations are discussed in the literature, including arguments such as a sample-specific effect (Black 1993;MacKinlay 1995), the irrational behavior of investors (DeBondt and Thaler 1987;Lakonishok et al 1994), and arguments of risk due to aggregate factors (Fama and French 1993, 1996, 1998 or characteristics (Daniel and Titman 1997). In any case, researchers have found evidence in favor of the value effect across different sample periods (Davis 1994;Davis et al 2000) and in many different countries (Chan et al 1991;Capaul et al 1993;Fama and French 1998;Liew and Vassalou 2000). If, indeed, the book/market ratio contains information about future stock returns, it may seem reasonable to use it as a state variable.…”

Section: Book/market Ratio Consumption/wealth Ratio and Stock Markementioning

confidence: 99%

The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex

Nieto

Rodríguez

2006

SpanEconRev

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This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.

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International Value and Growth Stock Returns

Cited by 287 publications

References 1 publication

Rationalizing the value premium in emerging markets

Rationalizing the value premium in emerging markets

Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?

The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex

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