The return to value in Asian stock markets |
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Authors: | Stephen Brown S Ghon Rhee Liang Zhang |
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Institution: | aNYU Stern School of Business and MIR, 44 West 4th Street KMEC 9-190, New York NY 10012;bUniversity of Hawaii Shidler College of Business, 2404 Maile Way (#C-304), Honolulu, HI 96822;cSungkyunkwan University Business School of Seoul, Korea;dUniversity of Melbourne, Australia |
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Abstract: | This paper investigates the returns to value strategies in four Asian stock markets: Hong Kong, Korea, Singapore and Taiwan. Hong Kong, Korea and Singapore exhibit value premia while Taiwan shows value discounts. The impact of firm characteristics on value premia differs across the four markets. The robustness tests indicate that the value premia are time-varying. They become greater in the post-crisis period across all four countries, indicating that high volatility during the crisis period did understate the value premia. The value strategy's excess return is sensitive to the sample selection rule and the firm size and liquidity effects. With tighter sample selection criteria, value premia tend to decline, which indicates that both the firm size effect and the liquidity effect are important sources of value premia. Unequal weighting assigned to financial variables in constructing the Average Price Rank (APR) based on the overall performance of single-variable approach does not necessarily improve the results. |
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Keywords: | Value strategies Firm size effect Liquidity effect Asian stock markets Hong Kong Korea Singapore Taiwan |
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