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The returns to value and momentum in Asian Markets

Author

Listed:
  • Brown, Stephen
  • Yan Du, Daphne
  • Rhee, S. Ghon
  • Zhang, Liang

Abstract

Two unique experiments are conducted. First, we evaluate returns to the best value and momentum strategies combined by: (i) a long portfolio of stocks classified as both value stocks and winner stocks; and (ii) a short portfolio of stocks classified as both growth and loser stocks. Second, we put all sample stocks of four representative Asian markets (Hong Kong, Korea, Singapore, and Taiwan) into one basket to undertake a regional level one-basket approach. Interestingly, the combination of best value and momentum strategies does not provide a significant improvement over the value or the momentum strategy evaluated separately. One immediate conjecture is that value stocks and winner stocks are not necessarily moving in tandem. Likewise, growth stocks and loser stocks may offset their effectiveness. Value premia under the one-basket approach are all insignificant regardless of the weighting scheme used.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ememar:v:9:y:2008:i:2:p:79-88
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    References listed on IDEAS

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    1. Ding, David K. & Chua, Jia Leng & Fetherston, Thomas A., 2005. "The performance of value and growth portfolios in East Asia before the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 185-199, March.
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    4. Richards, Anthony J, 1997. " Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?," Journal of Finance, American Finance Association, vol. 52(5), pages 2129-2144, December.
    5. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    6. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    7. repec:hrv:faseco:30721347 is not listed on IDEAS
    8. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December.
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    Cited by:

    1. repec:eee:ecmode:v:70:y:2018:i:c:p:203-214 is not listed on IDEAS
    2. Chiao-Yi Chang & Hsiang-Lan Chen & Zong-Ru Jiang, 2012. "Portfolio Performance in Relation to Herding Behavior in the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 82-104, July.
    3. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions: The Finnish evidence," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(4), pages 400-447, October.
    4. repec:pri:cepsud:188malkiel is not listed on IDEAS
    5. Chiao-Yi Chang & Hsiang-Lan Chen & Zong-Ru Jiang, 2012. "Portfolio Performance in Relation to Herding Behavior in the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 82-104, July.
    6. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(3), pages 223-246, August.
    7. Adam Zaremba, 2016. "Is there a low-risk anomaly across countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 45-65, April.
    8. Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
    9. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    10. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
    11. Burton G. Malkiel & Derek Jun, 2009. "The Value Effect and the Market For Chinese Stocks," Working Papers 1177, Princeton University, Department of Economics, Center for Economic Policy Studies..
    12. Malkiel, Burton & Jun, Derek, 2009. "The "value" effect and the market for Chinese stocks," Emerging Markets Review, Elsevier, vol. 10(4), pages 227-241, December.
    13. repec:rjr:romjef:v::y:2017:i:1:p:23-37 is not listed on IDEAS

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