Migration and its contribution to the size and value premiums: Australian evidence

Philip Gharghori, Yusuf Hamzah and Madhu Veeraraghavan

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 2, 177-196

Abstract: This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.

Keywords: Migration; Size; premium; Value; premium; Fama-French; model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:2:p:177-196

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