Value and Size Effects in the Stock Market of the Philippines

Perez, Gerardo “Gerry” Alfonso

doi:10.5430/ijfr.v9n2p191

Cited by 2 publications

(2 citation statements)

References 8 publications

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“…For instance, a systematic literature review focused on studies from the period 2007-2017 showed a partial reconciliation of the results of the research taken into account with the conclusions of value investing proponents, while the growth investing was not supported (Battisti et al, 2019). On the other hand, according, inter alia, to Perez (2018) and Hedau (2020), value investing did not lead to the outperformance of growth investing. Such heterogeneity confirms the purposefulness of research in this field.…”

Section: Literature Reviewmentioning

confidence: 99%

Building of F-Score-Like Models on the Example of the Polish Stock Market

Pilch

2023

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Theoretical background: Value investing is one of the most popular investing approaches. In their frame, there could be a high B/M investing strategy identified. F-Score, developed by Piotroski, is a scoring model applied to the sample of high B/M entities. Its purpose is to select companies with strong financial foundations and buy their shares for the investment portfolio to generate positive market-adjusted returns in the following periods. The effectiveness of this model was mostly empirically confirmed, especially regarding developed markets. Purpose of the article: The main aim of the paper was to build F-Score-like models based on the data from the Polish stock market. The main hypothesis concerned the higher effectiveness of such models than F-Score, as the specificity of a given market should result in a better fit to the data. Research methods: Building of the models based on the discriminant analysis and formation of the investment portfolios based on the indications of these models as well as F-Score. Finally, backtesting of the portfolios built to assess their effectiveness. The sample covered most of the Polish-listed companies. The period taken into account was 2012–2022. Main findings: Models built (X-Score and Y-Score) were less efficient than F-Score. Moreover, they led to generating negative rates of return (both raw and market-adjusted). On the other hand, using of F-Score for the analyzed period seems to be purposeful due to the 1.35% mean annual market-adjusted return generated. Apart from the scoring models analyzed, the research partially confirmed the advisability of using a high B/M investing strategy. Generally, the results obtained are in line with the findings of most of other authors –regarding the F-Score effectiveness. However, an approach based on Mohanram’s idea – using the differences between absolute values of a given variable and median from the sample – proved to be inadequate in the Polish stock market.

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Section: Literature Reviewmentioning

confidence: 99%

Building of F-Score-Like Models on the Example of the Polish Stock Market

Pilch

2023

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“…By contrast, other researchers have found that the value/growth anomaly is not captured in every market. Two recent studies comparing Value stock performance against that of Growth stock have been carried out by Gerry and Perez (2018a;2018b). The first one (2018a) focusing on the South Korean stock market has been based on the period 1996-2016.…”

Section: Anomalies Considerationsmentioning

confidence: 99%

Can Small-Cap Active Funds Substantially Outperform the Market Over Time?

Happi

2019

The Economics and Finance Letters

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The Efficient Market Hypothesis (EMF) persist that active management is useless and that investors should rather adopt a passive investment strategy that is less expensive and less risky. However, several previous pieces of literature in the small-cap industry contrast this point of view. This paper investigates the risk and performance of smallcap equity funds in the USA markets over a ten-year period of 2009-2018. The study period is segmented into sub-investment horizons and the funds sampled are split by group of investment style. Our findings are twofold. Firstly, in contrary to the Efficiency Market Hypothesis (EMF) the size effect in small-stock markets could indeed be a proxy of outperformance for active managers. Given that, top performers are observed among active growth funds. Secondly, surprisingly the great majority of funds selected have managed to gradually generate a positive alpha meaning that active management is not always pointless. Therefore, 56.67% of the whole sample has delivered consecutive excess returns over the three investment horizons and each fund within each investment style has outperformed the market at least once. The two last observations support partially the Efficiency Market Hypothesis (EMF) in the way that not all active funds were able to generate a persistent abnormal return over the long term and that some active portfolio managers could be just lucky in picking up stocks. Contribution/Originality: The existing study explores the performance of small-cap funds either against their benchmark or between them but this study uses different investment horizons. This study contributes to the existing literature in the sense of findings that Long-term investors should prioritize value/growth funds, while short-investors should invest in value funds.

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Value and Size Effects in the Stock Market of the Philippines

Cited by 2 publications

References 8 publications

Building of F-Score-Like Models on the Example of the Polish Stock Market

Building of F-Score-Like Models on the Example of the Polish Stock Market

Can Small-Cap Active Funds Substantially Outperform the Market Over Time?

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