Migration and its contribution to the size and value premiums: Australian evidence
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.
Year of publication: |
2010
|
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Authors: | Gharghori, Philip ; Hamzah, Yusuf ; Veeraraghavan, Madhu |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 20.2010, 2, p. 177-196
|
Publisher: |
Elsevier |
Keywords: | Migration Size premium Value premium Fama-French model |
Saved in:
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