Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.552394
Title: Three essays on the value premium : can investors capture the promised rewards?
Author: Scislaw, Kenneth Edward
Awarding Body: University of St Andrews
Current Institution: University of St Andrews
Date of Award: 2010
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Abstract:
A consensus exists in the body of academic literature that stocks with high BE/ME characteristics outperform stocks with low BE/ME characteristics. Researchers disagree, however, as to the cause of the phenomenon. Two competing theories have emerged. The value premium originates either from the relative riskiness of high BE/ME value and low BE/ME growth stocks or from the persistent irrational pricing of those stocks. Market participants question whether the long lineage of academic research showing the existence of the value premium can actually be applied to their portfolio decision-making. The lack of a pervasive value premium across stock size strata suggests the return phenomenon may result from information asymmetry or trading noise, and not from the pricing of greater risk. The value premium appears to be exclusively available to market participants who can effectively navigate the smallest, most illiquid segment of the stock market. In other words, the value premium does not appear to be available to large institutional investors.
Supervisor: McMillan, David Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.552394  DOI: Not available
Keywords: Value premium ; Value stocks ; Growth stocks ; GICS ; Dimensional Fund Advisors ; BE/ME ; Liquidity ; HG4521.S35 ; Stocks--Rate of return ; Liquidity (Economics) ; Risk ; Investments
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