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Value or volume strategy?

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  • Li, Ming-Yuan Leon

Abstract

This article reports a study that analyzes financial data for US firms listed during 1996-2005 to examine the asymmetric effects of the informative variables on stock returns between the boom and bust conditions in stock price. The study includes analysis of changing distribution of stock returns across stocks and over time by using a quantile regression (QR hereafter) model and comparison of the results with OLS and LAD estimates. The present empirical results indicate that market investors are more influenced by the fundamental variable, such as P/E ratios, derived from the value strategy when the stock they invest is in experience of a large fall in price. Conversely, when the stock price is hugely rising, market participants increase the loading of the effect of trading volume. Last, although the market returns have a significantly positive impact on the individual stock returns, we further indicate that the systematic effects involved in the market returns are much more notable when this specific stock is experiencing a recession condition in price.

Suggested Citation

  • Li, Ming-Yuan Leon, 2009. "Value or volume strategy?," Finance Research Letters, Elsevier, vol. 6(4), pages 210-218, December.
  • Handle: RePEc:eee:finlet:v:6:y:2009:i:4:p:210-218
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    References listed on IDEAS

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    1. repec:hal:journl:halshs-00460856 is not listed on IDEAS
    2. repec:eee:ecofin:v:42:y:2017:i:c:p:285-299 is not listed on IDEAS
    3. Yu-Yen Ku & Tze-Yu Yen, 2016. "Heterogeneous Effect of Financial Leverage on Corporate Performance: A Quantile Regression Analysis of Taiwanese Companies," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-33, September.

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