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

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Listed author(s):
  • 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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1042-4431(09)00052-3
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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 20 (2010)
Issue (Month): 2 (April)
Pages: 177-196

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Handle: RePEc:eee:intfin:v:20:y:2010:i:2:p:177-196
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

Keywords: Migration Size premium Value premium Fama-French model;

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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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