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The performance of value and growth portfolios in East Asia before the Asian financial crisis

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  • Ding, David K.
  • Chua, Jia Leng
  • Fetherston, Thomas A.
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-4D9RH41-1/2/ad8264fbb805d8a9e612c5f1910f657e
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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 13 (2005)
    Issue (Month): 2 (March)
    Pages: 185-199

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    Handle: RePEc:eee:pacfin:v:13:y:2005:i:2:p:185-199

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    Web page: http://www.elsevier.com/locate/pacfin

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Eugene F. Fama & Kenneth R. French, 1998. "Value versus Growth: The International Evidence," Journal of Finance, American Finance Association, vol. 53(6), pages 1975-1999, December.
    2. James, Christopher M & Edmister, Robert O, 1983. " The Relation between Common Stock Returns Trading Activity and Market Value," Journal of Finance, American Finance Association, vol. 38(4), pages 1075-86, September.
    3. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. " The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
    4. La Porta, Rafael, et al, 1997. " Good News for Value Stocks: Further Evidence on Market Efficiency," Journal of Finance, American Finance Association, vol. 52(2), pages 859-74, June.
    5. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    6. Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-28, June.
    7. Loughran, Tim, 1997. "Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 249-268, September.
    8. Jaffe, Jeffrey & Keim, Donald B & Westerfield, Randolph, 1989. " Earnings Yields, Market Values, and Stock Returns," Journal of Finance, American Finance Association, vol. 44(1), pages 135-48, March.
    9. Robert Stambaugh, . "On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis," Rodney L. White Center for Financial Research Working Papers 13-81, Wharton School Rodney L. White Center for Financial Research.
    10. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-78, December.
    11. Daniel, Kent & Titman, Sheridan, 1997. " Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
    12. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    13. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    14. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    15. Chan, K C & Chen, Nai-Fu, 1991. " Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-84, September.
    16. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-63, April.
    17. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
    18. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
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    Cited by:
    1. Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 224-242, April.
    2. Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan, 2014. "Rationalizing the value premium in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 51-70.
    3. Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.
    4. Brown, Stephen & Yan Du, Daphne & Rhee, S. Ghon & Zhang, Liang, 2008. "The returns to value and momentum in Asian Markets," Emerging Markets Review, Elsevier, vol. 9(2), pages 79-88, June.
    5. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    6. M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    7. Brown, Stephen & Ghon Rhee, S. & Zhang, Liang, 2008. "The return to value in Asian stock markets," Emerging Markets Review, Elsevier, vol. 9(3), pages 194-205, September.

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