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Transaction costs and value premium

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  • Agarwal, Vikas
  • Wang, Lingling
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    Abstract

    Value premium has been well documented in the finance literature. This paper empirically examines whether the value strategy of buying value stocks and selling growth stocks is profitable after controlling for transaction costs. Using the limited dependent variable estimate of transaction costs as in Lesmond, Ogden, and Trzcinka (1999), we find that value premium disappears as implementation of a value strategy involves substantial transaction costs. Our results after controlling for size and liquidity are robust to different ways of categorizing value and growth stocks used in the existing literature (Lakonishok, Shleifer, and Vishny (1994), and Fama and French (1993, 2006)) and to different methods of measuring transaction costs. -- Fama und French (1992, 1993) haben erstmals gezeigt, dass Portfolios aus Unternehmen mit einem hohem Buch-/Marktwertverhältnis (sog. Value Stocks) eine signifikant höhere durchschnittliche Rendite erzielen als Portfolios aus Unternehmen mit einem niedrigen Buch-/Marktwertverhältnis (sog. Growth Stocks). Diese relative Überrendite von Value Stocks wird in der Literatur als Value Premium bezeichnet. In diesem Papier wird untersucht, ob sich mit der Value Premium, genauer mit dem Kauf von Value Stocks und dem gleichzeitigen Verkauf von Growth Stocks, noch Geld verdienen lässt, wenn Transaktionskosten berücksichtigt werden. Zur Messung der Transaktionskosten wird ein umfassender Ansatz nach Lesmond et al. (1999) gewählt, der u.a. den Spread, Maklergebühren und sonstige Provisionen beim Handel mit Wertpapieren berücksichtigt. Die Berücksichtigung von Transaktionskosten führt zum Verschwinden der Value Premium - auch dann, wenn für Liquidität und die Größe der Unternehmen kontrolliert wird. Unterschiedliche Arten der Portfolioumschichtung sowie die Betrachtung verschiedener Untersuchungszeiträume ändern an diesem Ergebnis ebenfalls nichts. Das Verschwinden der Value Premium ist auf die höheren Transaktionskosten beim Handel mit Value Stocks im Vergleich zu Growth Stocks zurückzuführen. Da gleichzeitig der Leerverkauf von Growth Stocks hohe Kosten verursacht, ist es Arbitrageuren nicht möglich, eine profitable LongShort-Strategie anzuwenden. Unter der Berücksichtigung von Transaktionskosten lässt sich mit der Value Premium kein Geld verdienen.

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    Bibliographic Info

    Paper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 07-06.

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    Date of creation: 2007
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    Handle: RePEc:zbw:cfrwps:0706

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    Related research

    Keywords: Transaction costs; value stocks; growth stocks; value premium; liquidity;

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