Migration and its contribution to the size and value premiums: Australian evidence

Gharghori, Philip; Hamzah, Yusuf; Veeraraghavan, Madhu

doi:10.1016/j.intfin.2009.11.003

Journal of International Financial Markets, Institutions and Mo

2010

DOI: 10.1016/j.intfin.2009.11.003

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Migration and its contribution to the size and value premiums: Australian evidence

Philip Gharghori

Yusuf Hamzah

Madhu Veeraraghavan

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Cited by 6 publications

(1 citation statement)

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“…13 13 In Australia, Gharghori et al. (2010) find that the size and value premium are largely driven by small‐cap value firms that do not migrate out of their portfolio.…”

mentioning

confidence: 99%

Australian evidence on the implementation of the size and value premia

Docherty

Chan

Easton

2011

Accounting & Finance

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This study investigates whether passive investment managers can exploit the size and value premia without incurring prohibitive transaction costs or being exposed to substantial tracking error risk. Returns on the value premium are shown to be pervasive across size groups, while the size premium is nonlinear and driven by microcaps. The value premium cannot be explained by the capital asset pricing model; however, returns on value portfolios do covary across monetary regimes. The substantial turnover required to achieve annual rebalancing and the relative illiquidity of Australian small-cap firms means that investing in a portfolio of large-cap value firms appears to be the best way for passive fund managers to exploit the Fama and French (1993) premia.

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“…13 13 In Australia, Gharghori et al. (2010) find that the size and value premium are largely driven by small‐cap value firms that do not migrate out of their portfolio.…”

mentioning

confidence: 99%

Australian evidence on the implementation of the size and value premia

Docherty

Chan

Easton

2011

Accounting & Finance

View full text Add to dashboard Cite

show abstract

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

Faff

Gharghori

Nguyen

2014

International Review of Economics & Finance

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Sustainable factor investing: Where doing well meets doing good

Fan

Michalski

2020

International Review of Economics & Finance

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Migration and its contribution to the size and value premiums: Australian evidence

Cited by 6 publications

References 47 publications

Australian evidence on the implementation of the size and value premia

Australian evidence on the implementation of the size and value premia

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

Sustainable factor investing: Where doing well meets doing good

Contact Info

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