The weakening value premium in the Australian and New Zealand stock markets

Yi-Tsai Chung, Chuan-Hao Hsu, Mei-Chu Ke, Tung Liang Liao and Yi-Chein Chiang

Pacific-Basin Finance Journal, 2016, vol. 36, issue C, 123-133

Abstract: Some recent studies document that the value or size anomaly has reversed, weakened or disappeared in a number of major stock markets since the 1990s. Two risk-adjusted methods, the Sharpe ratio and the CAPM model, and a non-risk-adjusted method, the stochastic dominance (SD) approach, are used to examine whether the value premium still exists in two Oceanian stock markets, the Australian and New Zealand (NZ) markets, in recent times in this study. Our main findings demonstrate that the value premium of the Australian and NZ markets has become weak in the recent period.

Keywords: Value premium; Sharpe ratio; CAPM alpha; Stochastic dominance (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:36:y:2016:i:c:p:123-133

DOI: 10.1016/j.pacfin.2015.12.007

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