کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964289 930501 2010 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Migration and its contribution to the size and value premiums: Australian evidence
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Migration and its contribution to the size and value premiums: Australian evidence
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 20, Issue 2, April 2010, Pages 177–196
نویسندگان
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