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

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

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.

Suggested Citation

  • Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
    • Handle: RePEc:eee:pacfin:v:36:y:2016:i:c:p:123-133
    DOI: 10.1016/j.pacfin.2015.12.007
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    2. Fahad Ali & RongRong He & YueXiang Jiang, 2018. "Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market," Economies, MDPI, vol. 6(1), pages 1-24, February.
    3. Chikashi Tsuji, 2016. "Effects of the Japanese Stock Market on Canadian Value Stocks," Journal of Management and Strategy, Journal of Management and Strategy, Sciedu Press, vol. 7(2), pages 21-30, May.
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