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.

Evaluation, Japan, Stocks, Securities, Tokyo Stock Exchange

---

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.

Methods, Portfolio management, Investments

---

Similar abstracts:

• Abstracts: The dollars and sense of bank consolidation. The role of managerial incentives in bank acquisitions. Anticipating bailouts: the incentive-conflict model and the collapse of the Ohio deposit guarantee fund
• Abstracts: Australian IPO pricing in the short and long run. Investigating the behavior and characteristics of the Madrid Stock Exchange
• Abstracts: An empirical analysis of the limit order book and the order flow in the Paris Bourse. The long-run negative drift of post-listing stock returns
• Abstracts: Sharing knowledge. Strength in renewal: armed with a new mission and a new vision, the CA profession embarks on a re-engineering project in governance
• Abstracts: The robustness of the APT to alternative estimators. Extreme price clustering in the London equity index futures and options markets

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.