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Please use this identifier to cite or link to this item: http://hdl.handle.net/10023/936
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Kenneth Edward Scislaw PhD thesis.pdf2.81 MBAdobe PDFView/Open
Title: Three essays on the value premium : can investors capture the promised rewards?
Authors: Scislaw, Kenneth Edward
Supervisors: McMillan, David G.
Keywords: Value premium
Value stocks
Growth stocks
GICS
Dimensional Fund Advisors
BE/ME
Liquidity
Issue Date: 11-Jun-2010
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.
URI: http://hdl.handle.net/10023/936
Type: Thesis
Publisher: University of St Andrews
Appears in Collections:Management Theses



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