Style timing with the value spread in Australia

Autor:	David Beggs, Charles E. Hyde
Rok vydání:	2009
Předmět:	Yield spread Financial economics Accounting Economics Econometrics and Finance (miscellaneous) Value premium Econometrics Economics Differential (mechanical device) Value (mathematics) health care economics and organizations Finance
Zdroj:	Accounting & Finance. 49:781-798
ISSN:	1467-629X 0810-5391
Popis:	The value spread is shown to be positively related to the value premium in the Australian market. The relationship is especially strong for small cap portfolios and typically stronger when using the book-to-price ratio than other value metrics. In small cap portfolios, the positive value premium–spread relationship is primarily driven by the short side. Our results are consistent with previous findings in US and Asian markets. We also show that the small cap–large cap value spread differential is positively related to the corresponding value premium differential, suggesting the value spread can also be used for timing the large/small cap tilt.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f552414dbbc2d41bdcc20eae6af8644c https://doi.org/10.1111/j.1467-629x.2009.00303.x Zobrazit plný text záznamu Plný text ve formátu PDF