Title: Efficiency of capital markets: a new perspective on the value premium and day-of-the-week effect

Authors: William J. Procasky; Zubair Ali Raja; Renée Oyotode

Addresses: Department of Finance and Economics, Westminster College, 319 South Market Street, New Wilmington, PA 16172, USA ' Division of Business and Economics, Western Oregon University, 345 Monmouth Ave. N., Monmouth, OR 97361, USA ' Melvin D. & Valorie G. Booth School of Business, Northwest Missouri State University, 800 University Drive, Maryville, MO 64468, USA

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.

Keywords: market efficiency; stock anomalies; value premium; international financial markets; day-of-the-week effect; DoWE; style investing.

DOI: 10.1504/IJPAM.2018.092649

International Journal of Portfolio Analysis and Management, 2018 Vol.2 No.2, pp.114 - 140

Received: 20 Jul 2017
Accepted: 01 Mar 2018
Published online: 26 Jun 2018 *

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