کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973159 932762 2011 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The cyclical behavior of the risk of value strategy: Evidence from Taiwan
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The cyclical behavior of the risk of value strategy: Evidence from Taiwan
چکیده انگلیسی

Using Taiwanese equity data, we find that value-minus-growth strategies (HML) earn significantly positive expected returns, and that the value spread in B/M is widened following a financial crisis. Value firms disinvest more than growth firms in bad times. The HML betas are higher for periods of higher expected equity premium, higher market volatility, and lower GDP growth. Furthermore, while the HML betas are negative and positive for the pre- and post-crisis sample, respectively, the value (growth) betas increase (decrease) from pre- to post-crisis period. Also, the beta-premium sensitivity is positive for HML and value stocks, and negative for growth stocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 19, Issue 4, September 2011, Pages 404–419
نویسندگان
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