scholarly journals Is the value effect due to M&A deals? Evidence from the Italian stock market

2021 ◽  
Author(s):  
Antonio Roma
Keyword(s):  
Stock Market ◽  
Value Effect

scholarly journals The Inter-Firm Value Effect in the Qatar Stock Market: 2005-2014

2015 ◽  
Vol 11 (1) ◽  
pp. 189
Author(s):  
Omar Gharaibeh
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Factor Model ◽  
Two Measures ◽  
Value Effect ◽  
Abnormal Profits ◽  
Market Strategies ◽  
Three Factor

<p>This paper examines whether there is evidence of an inter-firm value in the returns of Qatar firms. The long-term return contrarian and book-to-market strategies are approaches commonly used to test for value effect. This study documents statistically significant abnormal profits of an inter-firm value effect with two measures. The long-term return contrarian and BE/ME strategies provide significant abnormal raw returns of 1.17% and 1.64% per month, respectively. Although each of the value strategies earns significant unadjusted profits, these profits can be explained by the Fama-French three-factor model.</p>

scholarly journals Value and Size Effects in the Stock Market of the Philippines

2018 ◽  
Vol 9 (2) ◽  
pp. 191
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Capital Market ◽  
The Philippines ◽  
Asian Countries ◽  
Volatility Clustering ◽  
A Value ◽  
Growth Stocks ◽  
Value Effect ◽  
Entire Dataset

Several market abnormalities, such as the small size effect or the value effect, have been found in the stock markets across the world. In this article it is analyzed the case of the stock market of the Philippines. The Philippines, while having a relatively large economy and a capital market with long history, has attracted less research than other Asian countries, such as China or Japan. This is perhaps due to the much larger size of the economies and capital markets of those countries. Nevertheless the stock market of the Philippines is important enough to warrant attention. It will be shown that in recent years there is no indication of a value effect or a small size effect in the stock market of the Philippines, which is surprising given the amount of articles finding such results in other countries. The results were consistent when using the entire dataset as well as when comparing each year individually. It was also found, using weekly returns, that value and growth stocks as well as small and large companies present volatility clustering, which is a result more consistent with the existing literature in other markets. There are less evidence of volatility clustering when using monthly returns rather than when using weekly returns.

Value Effect and Momentum Effect in the Korean Stock Market

2021 ◽  
Vol 17 (3) ◽  
pp. 293-304
Author(s):  
Ji-Yun Park ◽  
Byung-Jin Yim
Keyword(s):  
Stock Market ◽  
Momentum Effect ◽  
Korean Stock Market ◽  
Value Effect

scholarly journals A note on value investing in the UAE stock market

2019 ◽  
Vol 1 (2) ◽  
pp. 33-38
Author(s):  
Mateusz Mikutowski ◽  
George D. Kambouris ◽  
Adam Zaremba
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Dividend Yield ◽  
Value Investing ◽  
Value Effect ◽  
Stock Picking ◽  
Valuation Ratios

Value investing is one of the most popular stock-picking strategies employed in financial markets. We investigate its effectiveness in the United Arab Emirates. We examine the performance of 124 firms in the period from January 2004 to March 2019. We analyze portfolios from one-way sorts on several well-known valuation ratios: earnings-to-price, book-to-market, EBITDA-to-EV, and dividend yield. Our results demonstrate a powerful value effect in the UAE stock markets. The long-short strategies based on valuation ratios display high raw and risk-adjusted returns. Our results are robust to many considerations.

scholarly journals An Overview of Stock Portfolio Returns and Return Premia in Japan: The Case of Size and Book-to-Market Portfolios

2020 ◽  
Vol 8 (4) ◽  
pp. 39
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Size Effects ◽  
Sample Period ◽  
Full Sample ◽  
Portfolio Returns ◽  
Academic Researchers ◽  
International Investors ◽  
Value Effect ◽  
Stock Portfolio

This article explores Japanese stock portfolio returns and return premia by focusing on size- and book-to-market (BM)-sorted portfolios over the period of 1990 to 2020. As a result of our investigations, we derive the following useful findings. (1) In general, the value and/or size effects are continuously seen in the Japanese stock market. However, (2) these effects much depend on the economic and business background: for the performance of size- and BM-sorted portfolios in Japan, the value effect is stronger in some sub-periods; while the size effect is clearer in other sub-periods. Furthermore, (3) this study employs the data in US dollars, and computes various statistics and measures for both our full sample period and many different sub-periods, whose economic circumstances are rather different. Therefore, not only for academic researchers but also for international investors, our findings shall be highly beneficial for enriching the understanding of Japanese stock portfolio returns and return premia.

Predicting Stock Market Performance

2020 ◽  
pp. 1-10
Author(s):  
Thomas Plieger ◽  
Thomas Grünhage ◽  
Éilish Duke ◽  
Martin Reuter
Keyword(s):  
Stock Market ◽  
Risk Taking ◽  
Life Stress ◽  
Price Volatility ◽  
Individual Characteristics ◽  
Self Report ◽  
Financial Behavior ◽  
Market Simulation ◽  
Stock Market Performance ◽  
Risk Taking Behavior

Abstract. Gender and personality traits influence risk proneness in the context of financial decisions. However, most studies on this topic have relied on either self-report data or on artificial measures of financial risk-taking behavior. Our study aimed to identify relevant trading behaviors and personal characteristics related to trading success. N = 108 Caucasians took part in a three-week stock market simulation paradigm, in which they traded shares of eight fictional companies that differed in issue price, volatility, and outcome. Participants also completed questionnaires measuring personality, risk-taking behavior, and life stress. Our model showed that being male and scoring high on self-directedness led to more risky financial behavior, which in turn positively predicted success in the stock market simulation. The total model explained 39% of the variance in trading success, indicating a role for other factors in influencing trading behavior. Future studies should try to enrich our model to get a more accurate impression of the associations between individual characteristics and financially successful behavior in context of stock trading.

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