The Value Glamour Anomaly
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The Value Glamour Anomaly
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Author : John A. Doukas
language : en
Publisher:
Release Date : 2001
The Value Glamour Anomaly written by John A. Doukas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Several portfolio managers and stock analysts subscribe to the view that value (high book-to-market) investment strategies yield superior returns relative to glamour (low book-to-market) strategies. Empirical studies confirm that value investment strategies yield higher returns. However, the source of the superior performance of the value strategy and interpretation of the evidence remain controversial. In this paper we examine whether (i) investors systematically overestimate (underestimate) the future earnings performance of glamour (value) stocks, and (ii) value stocks are riskier than glamour stocks over the 1979-1998 period. Our results fail to support the view that the superior performance of value stocks is because investors make systematic errors in predicting future growth in earnings of out-of-favor stocks. Consistent with Fama and French (1992, 1996), our findings suggest that the return advantage of value investing strategies reflects compensation for bearing risk.
Value Glamour And Accruals Mispricing
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Author : Hemang Desai
language : en
Publisher:
Release Date : 2003
Value Glamour And Accruals Mispricing written by Hemang Desai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
We investigate Beaver's (2002) conjecture that the accruals anomaly is a manifestation of the glamour stock phenomenon documented in the finance literature. Value (glamour) stocks, characterized by low (high) past sales growth, high (low) B/M, high (low) E/P and high (low) C/P, are known to earn positive (negative) future abnormal returns. Note that quot;Cquot; or cash flow is operationalized in the finance literature as earnings adjusted for depreciation. Sloan (1996) shows that firms with low (high) total accruals earn positive (negative) future abnormal returns. We find that a new variable, operating cash flows measured as earnings adjusted for depreciation and working capital accruals, scaled by price (CFO/P) captures mispricing attributed to the four traditional value-glamour proxies and accruals. Interpretation of this finding with respect to Beaver's conjecture depends on the reader's priors. If the reader believes that value-glamour can be operationalized only as C/P, and not CFO/P, then one would conclude that (i) Beaver's conjecture is invalid; and (ii) CFO/P is a parsimonious variable that captures the mispricing attributes of two distinct anomalies, value-glamour and accruals. However, if a reader views the value-glamour anomaly broadly as a fundamentals-to-price anomaly, then (i) CFO/P variable can be considered an expanded value-glamour proxy and; (ii) our results are consistent with Beaver's conjecture that the accruals anomaly is the glamour stock phenomenon in disguise.
When Two Anomalies Meet
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Author : Zhipeng Yan
language : en
Publisher:
Release Date : 2015
When Two Anomalies Meet written by Zhipeng Yan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This study of the post-earnings announcement drift and the value-glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post-earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6-18.8 percent before transaction costs.
Evidence Of The Abnormal Accrual Anomaly Incremental To Operating Cash Flows
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Author : C.S. Agnes Cheng
language : en
Publisher:
Release Date : 2006
Evidence Of The Abnormal Accrual Anomaly Incremental To Operating Cash Flows written by C.S. Agnes Cheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Recent research provides evidence that the operating cash flows-to-price ratio subsumes accruals in explaining future annual returns. This suggests that the accrual anomaly is part of the overall value-glamour anomaly and does not represent the mispricing of earnings. We extend the literature by using multiple measures of abnormal accruals and separate analyses of future annual returns and future earnings announcement returns. The results reveal that the operating cash flows-to-price ratio does not subsume abnormal accruals in explaining future annual returns or future announcement returns. We also find that the operating cash flows-to-price ratio does not subsume total accruals in explaining future announcement returns. These results are not consistent with accruals being a manifestation of the value-glamour anomaly. Our study contributes to the current debate on the existence and the extent of the (abnormal) accrual anomaly. Moreover, the methodology employed can help researchers in exploring mispricing phenomena.
Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Risk And Return In Asian Emerging Markets
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Author : N. Cakici
language : en
Publisher: Springer
Release Date : 2014-08-13
Risk And Return In Asian Emerging Markets written by N. Cakici and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-13 with Business & Economics categories.
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Accounting Anomalies And Information Uncertainty
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Author : Jennifer Francis
language : en
Publisher:
Release Date : 2003
Accounting Anomalies And Information Uncertainty written by Jennifer Francis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
We examine whether rational investor responses to information uncertainty explain properties of and returns to accounting-based trading anomalies. We proxy for information uncertainty with two measures of earnings quality: the standard deviation of the residuals from a Dechow and Dichev [2002] model relating accruals to cash flows, and the absolute value of performance-adjusted abnormal accruals from a modified Jones [1991] model. Over 1982-2001, we find that accounting-based trading anomalies (post-earnings announcement drift, value-glamour, and accruals strategies) are correlated with earnings quality. Specifically, extreme anomaly portfolios have poorer earnings quality than non-extreme portfolios, and within the extreme anomaly portfolios, poor earnings quality securities are more prevalent and earn larger abnormal returns than good earnings quality securities. Consistent with greater resolution of uncertainty for poor earnings quality securities, the abnormal returns to poor quality securities converge to the abnormal returns to good quality securities as the post-portfolio formation period lengthens. Taken as a whole, these results indicate that information uncertainty plays an important role in explaining accounting anomalies.
A Closer Examination Of The Book Tax Difference Pricing Anomaly
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Author : Bradford Fitzgerald Hepfer
language : en
Publisher:
Release Date : 2016
A Closer Examination Of The Book Tax Difference Pricing Anomaly written by Bradford Fitzgerald Hepfer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Income accounting categories.
In this study, I examine whether the pricing of book-tax differences reflects mispricing or a priced risk factor. I provide new evidence that temporary book-tax differences are mispriced by developing portfolios that trade on the information in book-tax differences for future accruals and cash flows. I develop and test predictions on whether book-tax difference mispricing is the value-glamour anomaly in disguise. Both signals of mispricing relate to firm growth and, thus, both may capture mispricing due to over-extrapolation of realized growth to future growth. I find that the book-tax difference pricing anomaly is subsumed by the value-glamour anomaly. Specifically, trading on the information in book-tax differences does not yield incremental returns relative to a value-glamour trading strategy. Hence, mispricing associated with book-tax differences relates more generally to the mispricing of expected growth as extrapolated from past growth.
The Handbook Of Equity Market Anomalies
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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
China S Rise And Internationalization Regional And Global Challenges And Impacts
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Author : Filip Abraham
language : en
Publisher: World Scientific
Release Date : 2020-04-15
China S Rise And Internationalization Regional And Global Challenges And Impacts written by Filip Abraham and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-15 with Business & Economics categories.
2018 marks the 40th anniversary of the start of China's reform and opening up policy, which created China's growth miracle with an annual average growth rate of around 9.5 percent. China's rapid rise and internationalization has also generated profound impacts both regionally and globally. This edited book aims to bring together academics and researchers at policy institutions to discuss ongoing research on a wide range of theoretical and empirical issues related to China's rapid rise and internationalization from both regional and global perspectives.