Efficiency of capital markets: a new perspective on the value premium and day-of-the-week effect Online publication date: Tue, 26-Jun-2018
by William J. Procasky; Zubair Ali Raja; Renée Oyotode
International Journal of Portfolio Analysis and Management (IJPAM), Vol. 2, No. 2, 2018
Abstract: Investigating a much greater breadth of markets than ever before using daily data, we find no evidence of a value premium in either developed or emerging markets since the last studies were performed over a decade and a half ago, suggesting the previously documented anomaly has been exhaustively exploited. Also, using value-growth style investing preferences for the first time in examining the day-of-the-week effect, we find support for the previously documented anomaly in emerging markets only and primarily for value stocks. These results suggest that investment strategies based on the value premium no longer are effective and that day-of-the-week strategies should focus on emerging market value stocks only in the quest to generate risk adjusted profits.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Portfolio Analysis and Management (IJPAM):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com