The returns to value and momentum in Asian markets

Stephen Jeffrey Brown, Daphne Yan Du, Sangghon Rhee, Liang Zhang

Research output: Contribution to journalArticleResearchpeer-review

32 Citations (Scopus)

Abstract

Two unique experiments are conducted. First, we evaluate returns to the best value and momentum strategies combined by: (i) a long portfolio of stocks classified as both value stocks and winner stocks; and (ii) a short portfolio of stocks classified as both growth and loser stocks. Second, we put all sample stocks of four representative Asian markets (Hong Kong, Korea, Singapore, and Taiwan) into one basket to undertake a regional level one-basket approach. Interestingly, the combination of best value and momentum strategies does not provide a significant improvement over the value or the momentum strategy evaluated separately. One immediate conjecture is that value stocks and winner stocks are not necessarily moving in tandem. Likewise, growth stocks and loser stocks may offset their effectiveness. Value premia under the one-basket approach are all insignificant regardless of the weighting scheme used.
Original languageEnglish
Pages (from-to)79 - 88
Number of pages10
JournalEmerging Markets Review
Volume9
Issue number2
Publication statusPublished - 2008
Externally publishedYes

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