The return to value in Asian stock markets

Stephen Jeffrey Brown, Sangghon Rhee, Liang Zhang

Research output: Contribution to journalArticleResearchpeer-review

13 Citations (Scopus)

Abstract

This paper investigates the returns to value strategies in four Asian stock markets: Hong Kong, Korea, Singapore and Taiwan. Hong Kong, Korea and Singapore exhibit value premia while Taiwan shows value discounts. The impact of firm characteristics on value premia differs across the four markets. The robustness tests indicate that the value premia are time-varying. They become greater in the post-crisis period across all four countries, indicating that high volatility during the crisis period did understate the value premia. The value strategy s excess return is sensitive to the sample selection rule and the firm size and liquidity effects. With tighter sample selection criteria, value premia tend to decline, which indicates that both the firm size effect and the liquidity effect are important sources of value premia. Unequal weighting assigned to financial variables in constructing the Average Price Rank (APR) based on the overall performance of single-variable approach does not necessarily improve the results.
Original languageEnglish
Pages (from-to)194 - 205
Number of pages12
JournalEmerging Markets Review
Volume9
Issue number3
Publication statusPublished - 2008
Externally publishedYes

Cite this

Brown, S. J., Rhee, S., & Zhang, L. (2008). The return to value in Asian stock markets. Emerging Markets Review, 9(3), 194 - 205.