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The returns to value and momentum in Asian Markets

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

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.

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File URL: http://www.sciencedirect.com/science/article/B6W69-4S01VHC-1/1/930be605299cb44efc894722c24eac94
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 9 (2008)
Issue (Month): 2 (June)
Pages: 79-88

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Handle: RePEc:eee:ememar:v:9:y:2008:i:2:p:79-88
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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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.
  2. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
  3. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04.
  4. 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.
  5. 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.
  6. 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 2129-44, December.
  7. 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.
  8. 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.
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