Value Strategy – Test on the Warsaw Stock Exchange

Paweł Sekuła

Abstract


This paper examines whether a value strategy can shift the distribution of returns earned by an investor. The strategy divides the universe of stocks annually into book-to-market (B/M), earning-to-price (E/P) and market value (CAP) deciles. These ratios are used to sort individual stocks into portfolios. The paper provides evidence that the value strategies produce lower returns than WIG. The second result is that B/M and CAP have statistically significant predictive power for portfolios returns.


Keywords


value strategy; fundamental portfolio; market efficiency

Full Text:

PDF (Język Polski)

References


Asness C.S., Moskowitz T.J., Pedersen L.H., Value and Momentum Everywhere, “Journal of Finance” 2013, Vol. 68, No. 3, DOI: https://doi.org/10.1111/jofi.12021.

Banz R.W., The Relationship Between Return and Market Value of Common Stocks, “Journal of Financial Economics” 1981, Vol. 9, No. 1, DOI: https://doi.org/10.1016/0304-405X(81)90018-0.

Basu S., The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence, “Journal of Financial Economics” 1983, Vol. 12, No. 1, DOI: https://doi.org/10.1016/0304-405X(83)90031-4.

Daniel K., Titman S., Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, “Journal of Finance” 1997, Vol. 52, No. 1, DOI: https://doi.org/10.1111/j.1540-6261.1997.tb03806.x.

Fama E.F., French K.R., Multifactor Explanations of Asset Pricing Anomalies, “Journal of Finance” 1996, Vol. 51, No. 1, DOI: https://doi.org/10.1111/j.1540-6261.1996.tb05202.x.

Fama E.F., French K.R., The Cross-section of Expected Stock Returns, “Journal of Finance” 1992, Vol. 47, No. 2, DOI: https://doi.org/10.1111/j.1540-6261.1992.tb04398.x.

Fama E.F., French K.R., Value versus Growth, “Journal of Finance” 1998, Vol. 53, No. 6, DOI: https://doi.org/10.1111/0022-1082.00080.

Lakonishok J., Shleifer A., Vishny R.W., Contrarian Investment, Extrapolation, and Risk, “Journal of Finance” 1994, Vol. 49, No. 5, DOI: https://doi.org/10.1111/j.1540-6261.1994.tb04772.x.

Łuniewska M., Tarczyński W., Metody wielowymiarowej analizy porównawczej na rynku kapitałowym, Wydawnictwo Naukowe PWN, Warszawa 2006.

Petkowa R., Zhang L., Is Value Riskier Than Growth?, “Journal of Financial Economics” 2005, Vol. 78, No. 1.

Piotroski J.D., Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers, “Journal of Accounting Research” 2000, Vol. 38 (Supplement), DOI: https://doi.org/10.2307/2672906.




DOI: http://dx.doi.org/10.17951/h.2016.50.4.413
Data publikacji: 2017-02-20 17:31:15
Data złożenia artykułu: 2016-05-16 02:28:34


Statistics


Total abstract view - 499
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2017 Paweł Sekuła

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.