The weakening value premium in the Australian and New Zealand stock markets

•This study examines the value premium for the Australian and New Zealand markets.•The results show that the value premium has become weak in two markets recently.•The famous value premium may not be pervasive across the stock markets.

Some recent studies document that the value or size anomaly has reversed, weakened or disappeared in a number of major stock markets since the 1990s. Two risk-adjusted methods, the Sharpe ratio and the CAPM model, and a non-risk-adjusted method, the stochastic dominance (SD) approach, are used to examine whether the value premium still exists in two Oceanian stock markets, the Australian and New Zealand (NZ) markets, in recent times in this study. Our main findings demonstrate that the value premium of the Australian and NZ markets has become weak in the recent period.