The investment value of the value premium

Brailsford, Tim; Gaunt, Clive; O'Brien, Michael

doi:10.1016/j.pacfin.2011.12.008

Cited by 25 publications

(51 citation statements)

References 27 publications

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“…In particular, the skew in the Australian market means that prior studies utilize portfolios that have a much larger proportion of total market capitalization assigned to the largest size quintile and a significantly smaller proportion in the smallest size quintile. While prior Australian studies generally do not find evidence of a value premium, when Brailsford et al (2011) employ a portfolio construction method which parallels the standard US approach, a value premium is clearly apparent.…”

Section: Prior Researchmentioning

confidence: 85%

“…In a recent study, Brailsford, Gaunt and O'Brien (2011) draw attention to the portfolio construction method employed in prior Australian studies. They show how it is critically different to that employed in the US market.…”

Section: Prior Researchmentioning

confidence: 99%

“…More recently, Brailsford, Gaunt and O'Brien (2011) have recently demonstrated that these prior results are likely to be affected by the portfolio construction employed. They suggest an alternative approach more consistent with that used in the research into the US market.…”

Section: Introductionmentioning

confidence: 99%

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Size and book-to-market factors in Australia

Brailsford¹,

Gaunt

O'Brien³

2012

Australian Journal of Management

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There is continuing debate in the asset pricing literature as to the acceptance of the Fama-French threefactor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the HML factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. First, the study utilises a purpose-built dataset spanning 25 years and 98% of all listed firms. Second, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the CAPM. The findings support the superiority of the Fama-French model, and for the first time align the research in this area between Australia and the USA.JEL Classification: G110, G120, G140

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Section: Prior Researchmentioning

confidence: 85%

Section: Prior Researchmentioning

confidence: 99%

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Size and book-to-market factors in Australia

Brailsford¹,

Gaunt

O'Brien³

2012

Australian Journal of Management

Self Cite

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“…In addition to Fama and French (1998), studies such as Brailsford et al (2012), Asness et al (2013), and Ebrahim et al (2014a) also find the value premium in developed markets (such as the Australia, Continental Europe, Japan, UK and USA) and various developing ones (such as Brazil, China, India, and Turkey). 2…”

Section: Notesmentioning

confidence: 99%

Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism

Ebrahim

Hudson

Iqbal

et al. 2016

IJBAAF

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This paper contradicts the existence of a universal value anomaly by studying Malaysia, a country with a unique institutional setting. We investigate this counter-example to attribute the anomaly to: 1) the leverage effect of value firms; 2) the investment pattern of growth firms; 3) the economic environment. We find that the value premium cannot be ascribed solely to risk as it is time varying and dependent on the attributes of the companies. Our results illustrate that small cap value firms perform relatively well during favourable economic conditions. In contrast, large cap growth firms perform better than their counterparts (i.e., large cap value firms) in economic upturns as they are preferentially awarded projects to revive the nation's growth.

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“…Baltussen et al (2012) analyzed the US yearly data from 1963 to 2007, and concluded that the value premium was smaller for investors such as ISSN 2157-6068 2014 www.macrothink.org/bms 70 pension funds and insurance companies, especially when they were downside risk averse. Brailsford et al (2012) examined the value premium in the Australian stock markets, and they suggested that the existence of the value premium depended on the portfolio formation methodology. They concluded that the state of the value premium in Australia was not always the same as that in the US stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The Value and Growth Spreads: The Recent Cases in the Japanese Stock Markets

Tsuji¹

2014

BMS

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This study explores the recent performance of growth and value stocks by using the data of the Russell-Nomura Japan value and growth indices. This research is significantly important in order to judge the effectiveness of investment management and strategy in the recent Japanese equity markets. The recent full sample period under our analyses is from January 4, 2010 to March 20, 2014. Our investigations as to the value spreads, growth spreads, and value-growth spreads in Japan derive the following evidence. First, (1) in the recent Japanese stock markets, the value spreads over Tokyo Stock Price Index (TOPIX) are statistically significantly positive in all six Russell-Nomura Japan value indices. Second, (2) in the recent stock markets in Japan, the growth spreads over TOPIX are also statistically significantly positive in all six Russell-Nomura Japan growth indices. Third, (3) in our above full sample period, growth style indices generally outperform the value style indices, and in particular, after the inauguration of the new Abe cabinet in December 2012, smaller-size growth stock indices strongly outperform the same size category value indices.

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The investment value of the value premium

Cited by 25 publications

References 27 publications

Size and book-to-market factors in Australia

Size and book-to-market factors in Australia

Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism

The Value and Growth Spreads: The Recent Cases in the Japanese Stock Markets

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