New Evidence on the Value Additivity Principle

Malcolm R. Burns

Journal of Financial and Quantitative Analysis, 1987, vol. 22, issue 1, 65-77

Abstract: This paper tests the Value Additivity Principle (VAP) of financial assets with the pricing of Standard Oil securities in 1912. The results are somewhat mixed: the VAP does not generally describe the daily prices of equivalent Standard Oil portfolios, but it accurately describes their average market values; and the portfolio values display convergent adjustment behavior that tends to equalize them quite rapidly. On balance, these findings are consistent with the VAP.

Date: 1987
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