The Value Premium

2020 ◽  
Author(s):  
Eugene F Fama ◽  
Kenneth R French
Keyword(s):  
Expected Value ◽  
Value Premium ◽  
Regression Coefficients ◽  
Sample Period ◽  
Portfolio Returns ◽  
Market Portfolio ◽  
Reliable Evidence ◽  
High Volatility ◽  
Editorial Decision

Abstract Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963–June 2019 period. But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample. Regressions that forecast value premiums with book-to-market ratios in excess of market (BM–BMM) produce more reliable evidence of second-half declines in expected value premiums, but only if we assume the regression coefficients are constant during the sample period. (JEL G11, G12, G14) Received: January 21, 2020; editorial decision: July 21, 2020; Editor: Jeffrey Pontiff.

The Expected Value Premium

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 35-36
Author(s):  
Michael Kobal
Keyword(s):  
Expected Value ◽  
Value Premium

scholarly journals Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach

2019 ◽  
Vol 12 (1) ◽  
pp. 27 ◽  
Author(s):  
Mamadou Cisse ◽  
Mamadou Konte ◽  
Mohamed Toure ◽  
Smael Assani
Keyword(s):  
Kalman Filter ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Capital Asset Pricing ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Market Portfolio ◽  
High Volatility ◽  
Size Criterion ◽  
Better Than

The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the assets of the Regional Stock Exchange of West Africa (BRVM) by comparing two dynamics: one by the Kalman filter (assuming that the β follow a random walk) and the other by the Markov switching (MS) model (assuming that β varies according to regimes) for four portfolios of the BRVM. Having found a link between the beta of the market portfolio and the size criterion (measured by capitalization), the two previous models were re-estimated with the addition of the SMB (Small Minus Big) variable. The results show according to the RMSE criterion that the estimation by the Kalman filter fits better than MS, which suggests that investors cannot anticipate systematic risk because of its high volatility.

scholarly journals Expected Value Premium Principle Pada Data Reasuransi

2020 ◽  
Vol 6 (2) ◽  
pp. 21-27
Author(s):  
Radot Mh Siahaan ◽  
Dian Anggraini ◽  
Andi Fitriawati ◽  
Dani Al Makhya
Keyword(s):  
Threshold Value ◽  
Expected Value ◽  
Value Premium ◽  
Fire Insurance ◽  
Pure Premium ◽  
Stop Loss ◽  
Insurance Data

The amount of stop loss cover reinsurance using krone as Danish currency. The stop loss cover reinsurance scheme with a retention value of r = 50 million krone from fire insurance data in Denmark from 1980-1990 with truncate date at 10 million krone, resulting in a conditional expected value that decreases in value when the higher the threshold value. This is indicated by the threshold value of 1 = 2.976 resulting in pure premium of 1 = 0.1217, a threshold value of 2 = 10.0539 resulting in pure premium 2 = 0.0867 and a threshold value of 3 = 26.199 resulting in pure premium 3 = 0.0849. The use of expected value premium principle with the loading factor () is weighted to the value of the pure premium represented by. This is indicated by the weight of premium 1 = 0.13387, the weight of the premium 2 = 0.09537 and the weight of premium 3 = 0.09339.

scholarly journals A Comparative Study on Performance of Open and Close-ended Mutual Funds in Pakistan

2015 ◽  
Vol 1 (1) ◽  
pp. 300
Author(s):  
Waqas Ahmad ◽  
Muhammad Sohaib Roomi ◽  
Muhammad Ramzan ◽  
Muhammad Zia-ur-Rehman ◽  
Sajjad Ahmad Baig
Keyword(s):  
Financial Crisis ◽  
Comparative Study ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Portfolio Performance ◽  
Sample Period ◽  
Market Portfolio ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
Better Than

This paper is based on the comparison of Pakistani open-ended and close-ended mutual funds performance. That study focus on income, balance and equity schemes of open-ended and close-ended mutual funds. The performance of these funds evaluates using Sortino measure, Shrape measure, Treynor measure, Jenssen differtial measure and Inforamtion measure. The sample for the study consists of 73 funds from 2007 to 2012. Results show open-ended mutual funds performance is better than close-ended mutual funds. KSE (market portfolio) performance is grater over the all sample base mutual funds. Most risk adjusted funds returns are negative, which probably due to mutual fund industry set back by financial crisis during sample period.  

scholarly journals Historical Returns of the Market Portfolio

2019 ◽  
Vol 10 (3) ◽  
pp. 521-567 ◽  
Author(s):  
Ronald Doeswijk ◽  
Trevin Lam ◽  
Laurens Swinkels
Keyword(s):  
Standard Deviation ◽  
Asset Pricing ◽  
Corporate Finance ◽  
Set Covering ◽  
Data Set ◽  
Oxford University ◽  
Unique Data ◽  
Market Portfolio ◽  
Editorial Decision ◽  
Published Paper

Abstract We create an annual return index for the invested global multiasset market portfolio. We use a newly constructed unique data set covering the entire market of financial investors. We analyze returns and risk from 1960 to 2017, a period during which the market portfolio realized a compounded real return in U.S. dollars of 4.45%, with a standard deviation of annual returns of 11.2%. The compounded excess return was 3.39%. We publish these data on returns of the market portfolio, so they can be used for future asset pricing and corporate finance studies. Received March 4, 2019; editorial decision October 9, 2019 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

The expected value premium☆

2008 ◽  
Vol 87 (2) ◽  
pp. 269-280 ◽  
Author(s):  
L CHEN ◽  
R PETKOVA ◽  
L ZHANG
Keyword(s):  
Expected Value ◽  
Value Premium

scholarly journals Size and Operating Profitability Portfolio Returns and Return Premia in Japan—A Tour d’horizon

2021 ◽  
Vol 13 (2) ◽  
pp. 1
Author(s):  
Chikashi Tsuji
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Equity Market ◽  
Equity Returns ◽  
Sample Period ◽  
Full Sample ◽  
Portfolio Returns ◽  
International Equity ◽  
Equity Portfolios

This study examines the Japanese equity returns and return premia by focusing on firm size- and corporate operating profitability-sorted portfolios over the period from 1990 to 2020. As a result of our explorations, this study derives the following much beneficial findings. (1) The effects of corporate operating profitability and firm size are generally continuously seen in the Japanese equity market. More specifically, (2) the size effect is much stronger in our latter half sub-period; while the operating profitability effect is similarly seen in both our former half and latter half sub-periods. Furthermore, (3) we stress that this study employs the data in US dollars, and calculates several key statistics and measures for not only our full sample period but also many different sub-periods, in which economic and business circumstances are much different. Therefore, for both Japanese and international equity investors, our findings shall be highly useful for enriching and furthering the understanding of returns and return premia of Japanese equity portfolios.

scholarly journals The Expected Value Premium

2006 ◽  
Author(s):  
Long Chen ◽  
Ralitsa Petkova ◽  
Lu Zhang
Keyword(s):  
Expected Value ◽  
Value Premium

The National Golf Foundation Top 100 Businesses in Golf: Investigating the Portfolio Returns vs the Market Portfolio

2021 ◽  
Vol 9 (4) ◽  
pp. 96-100
Author(s):  
Thomas Willey ◽  
Douglas Robideaux
Keyword(s):  
Media Technology ◽  
Market Returns ◽  
Publicly Traded ◽  
Entire Sample ◽  
Portfolio Returns ◽  
Market Index ◽  
Market Portfolio ◽  
Golf Industry ◽  
The U.S ◽  
Initial List

In early 2018, the National Golf Foundation (NGF) presented their inaugural list of the top 100 businesses in the approximately $70 billion golf industry. Six sectors of the U.S. Economy are represented by the following breakdown of companies: Equipment (22 firms); Turf and Course Supplies (18); Apparel and Accessories (13); Course Management (13); Media/Technology and Associations, Retail and Other (23). The purpose of our research is to determine if an investor could generate above-market returns by investing in a portfolio of the publicly traded firms that are part of this initial list. Our results, indicate that over the entire sample period, three golf related stocks outperformed the overall market index after adjusting for risk.

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