A NEW INSIGHT INTO VALUE PREMIUM AND SIZE PREMIUM

被引：4

作者：

Deb, Soumya Guha

Mishra, Banikanta

机构：

[1] Indian Institute of Management Sambalpur, Sambalpur

[2] Xavier Institute of Management – Bhubaneswar (XIMB), Xavier Square, Bhubaneswar

来源：

IIMB MANAGEMENT REVIEW | 2019年 / 31卷 / 04期

关键词：

Bull and bear months; Lower partial moment (LPM); Median portfolio; Portfolio management; Size premium; Value premium;

D O I：

10.1016/j.iimb.2019.07.004

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Analysing Indian equity data from 1995 to 2014, we conclude that median portfolios, which have received little attention from most researchers of value premium (VP) and size premium (SP), are quite pivotal. Mid-market-capitalisation portfolios exhibit zero VP and mid-price-to-book portfolios, zero SP. A move to lower market-capitalisation (MC) or price-to-book-ratio (PB) makes premium – VP or SP, as the case may be – positive; a move toward higher MC or PB makes the premium negative. This may be due to differences in the ways investors choose among small-MC and within big-MC, and weigh book-value vis-a-vis growth-potential. We believe this is a unique finding not, as yet, reported anywhere. © 2019

引用

页码：320 / 320

页数：1

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