Migration and its contribution to the size and value premiums: Australian evidence

Philip Gharghori; Yusuf Hamzah; Madhu Veeraraghavan

doi:10.1016/j.intfin.2009.11.003

Migration and its contribution to the size and value premiums: Australian evidence

Philip Gharghori
, Yusuf Hamzah
, Madhu Veeraraghavan^*

^*Corresponding author for this work

T A Pai Management Institute, Manipal

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.

Original language	English
Pages (from-to)	177-196
Number of pages	20
Journal	Journal of International Financial Markets, Institutions and Money
Volume	20
Issue number	2
DOIs	https://doi.org/10.1016/j.intfin.2009.11.003
Publication status	Published - 04-2010

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.intfin.2009.11.003

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title = "Migration and its contribution to the size and value premiums: Australian evidence",

abstract = "This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.",

author = "Philip Gharghori and Yusuf Hamzah and Madhu Veeraraghavan",

note = "Funding Information: The excellent research assistance of Song Guo, the helpful comments of an anonymous referee and the financial support provided by the Melbourne Centre of Financial Studies ( 1779352 ) are gratefully acknowledged. Gharghori and Veeraraghavan are centre associates of the Melbourne Centre of Financial Studies. ",

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doi = "10.1016/j.intfin.2009.11.003",

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AU - Gharghori, Philip

AU - Hamzah, Yusuf

AU - Veeraraghavan, Madhu

N1 - Funding Information: The excellent research assistance of Song Guo, the helpful comments of an anonymous referee and the financial support provided by the Melbourne Centre of Financial Studies ( 1779352 ) are gratefully acknowledged. Gharghori and Veeraraghavan are centre associates of the Melbourne Centre of Financial Studies.

PY - 2010/4

Y1 - 2010/4

N2 - This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.

AB - This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-book type contribute moderately to the size premium, (c) value stocks that move to a higher market-to-book type contribute moderately to the value premium (d) small-cap stocks that grow to be big-cap stocks make minor contributions to the size premium and (e) value stocks that change size classification, make minor contributions to the value premium. Overall, small-cap value stocks that stay in the same group account for large portions of both the size and value premiums.

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Migration and its contribution to the size and value premiums: Australian evidence

Abstract

All Science Journal Classification (ASJC) codes

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