Glamour and value strategies on the Tokyo Stock Exchange
Article Abstract:
The reason for the better performance of value stocks over glamour stocks in the Tokyo Stock Exchange was investigated and the extrapolation model for the Japanese stock market was tested. Data from past, future and expected growth lend credence to the theory of Lakonishok, Shleifer and Vishny that the difference is caused by investors depending too much on past performances. The difference has very little relationship to risk factors. Moreover, the book-to-market premium is nearer to an arbitrage opportunity compared to the size premium.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
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Contrarian investment strategies in a European context
Article Abstract:
The contrarian investment strategy of purchasing stocks with low prices compared to value measures was studied in France, Germany, the Netherlands and the UK. This strategy is often called value strategy as opposed to the glamour strategy. Using five portfolios for four relative value variables, it was found that the hedged returns for the value portfolios performed better than the glamour portfolios. Risk differences are inadequate for explaining these findings.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
User Contributions:
Comment about this article or add new information about this topic:
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