Extreme Returns from Extreme Value Stocks: Enhancing the Value Premium

2005 ◽  
Author(s):  
K. P. Anderson ◽  
Chris Brooks
Keyword(s):  
Extreme Value ◽  
Value Premium ◽  
Value Stocks ◽  
Extreme Returns

Extreme Returns From Extreme Value Stocks

2007 ◽  
Vol 16 (1) ◽  
pp. 69-81 ◽  
Author(s):  
Keith Anderson ◽  
Chris Brooks
Keyword(s):  
Extreme Value ◽  
Value Stocks ◽  
Extreme Returns

scholarly journals The value and accounting premium for South African-listed shares

2008 ◽  
Vol 2 (2) ◽  
pp. 187-202
Author(s):  
Jürgen Ernstberger ◽  
Christian Heinze ◽  
Oliver Vogler
Keyword(s):  
South African ◽  
Financial Reporting ◽  
The United States ◽  
High Ratio ◽  
Value Premium ◽  
Accounting Standard ◽  
Value Stocks ◽  
Financial Reporting Standards ◽  
The Us ◽  
Growth Stocks

In the last decade, empirical research has found strong evidence that value stocks provide higher returns than growth stocks (value premium). Firms with a high ratio of book value of equity to market value of equity are regarded as value stocks; a low ratio identifies growth stocks. Most research is tailored to the market in the United States of America. Only a few studies consider country-specific distinctions. This research analyses the value premium for the South African market and compares its magnitude to the findings for the US market. Moreover, the effects of the introduction of International Financial Reporting Standards (IFRS) for companies listed at the JSE Limited are examined. The adoption of IFRS is used to demonstrate that investors award an accounting premium for voluntary compliance with this new accounting standard.

scholarly journals The Impact of Business Cycles, Stock Market Phases and Crisis on the Value Premium: The Indian Experience

2021 ◽  
Vol 29 (03) ◽  
pp. 08-31
Author(s):  
Priti Aggarwal ◽  
◽  
Vanita Tripathi ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Business Cycles ◽  
Emerging Market ◽  
Value Premium ◽  
Market Conditions ◽  
Value Stocks ◽  
Stock Portfolios ◽  
Indian Stock Market ◽  
The Impact

Purpose :This paper is an attempt to explore the relationship between the value premium and expected stock returns in the Indian stock market and evaluates whether the value premium disappears or not when the different economic conditions (Boom & Recession), market conditions (Bull & Bear) and 2008 Global financial crisis are considered. Methodology: The annual data of 500 companies belonging to BSE-500 from 1999- 2017 was collected and ten portfolios were constructed and sorted using six valuation proxies (P/B, P/E, D/P/, CF/P, S/P and EV/PBDITA). Standard CAPM and Dual beta market model were employed. Findings: The empirical results confirm that irrespective of market conditions, value stock portfolios surpass growth stock portfolios in the Indian stock market by delivering significant abnormal returns. Practical implications: The paper holds important implications for asset pricing literature and investors. The higher returns generated by value stocks during the crisis and recession period imply that investors can put faith in the value stocks during times of adversity. The future value of an investment is a function of its present price. The lower the price, the higher the returns will be. Therefore, value stocks are good investments whether it is boom or recession, bull or bear, crisis or non-crisis periods. Originality: The paper is first of its kind to study the impact of business cycles, stock market phases and crisis on the value premium in the Indian stock market. The paper contributes to portfolio management and asset pricing literature for an emerging market.

scholarly journals Predicting Extreme Returns of Bitcoin: Extreme Value Theory Approach

2021 ◽  
Vol 1988 (1) ◽  
pp. 012091
Author(s):  
Saiful Izzuan Hussain ◽  
Nurulkamal Masseran ◽  
Nadiah Ruza ◽  
Muhammad Aslam Mohd Safari
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Theory Approach ◽  
Extreme Returns

Modeling European hot spells using extreme value analysis

2014 ◽  
Vol 58 (3) ◽  
pp. 193-207 ◽  
Author(s):  
C Photiadou ◽  
MR Jones ◽  
D Keellings ◽  
CF Dewes
Keyword(s):  
Extreme Value ◽  
Extreme Value Analysis ◽  
Value Analysis ◽  
Hot Spells
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