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Migration and its contribution to the size and value premiums: Australian evidence

Author

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  • Gharghori, Philip
  • Hamzah, Yusuf
  • Veeraraghavan, Madhu

Abstract

This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.

Suggested Citation

  • Gharghori, Philip & Hamzah, Yusuf & Veeraraghavan, Madhu, 2010. "Migration and its contribution to the size and value premiums: Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 177-196, April.
  • Handle: RePEc:eee:intfin:v:20:y:2010:i:2:p:177-196
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    Cited by:

    1. 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.
    2. Faff, Robert & Gharghori, Philip & Nguyen, Annette, 2014. "Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 627-638.

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