Artikel

Spectral analysis and the death of value investing

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural economic changes, persistently low global interest rates and value investing's underperformance relative to growth investment strategies. The Adaptive Market Hypothesis suggests that market efficiencies vary over time as risk and behavioral biases change with market conditions. We conducted a Fourier analysis and found a three-month cycle, a six-month cycle and a 10-year cycle in the value premium. The Fourier analysis illustrates the predictability of the value premium and the study explains the short-term cyclicality as behavioral biases. Furthermore, the longer cycles are better explained by rational asset pricing, perceived market risks and market efficiency. Historic value factor returns were sourced from value portfolios that were constructed by their rankings associated with their book to market ratios. Additionally, a combination portfolio of value and momentum was formed including returns from portfolios ranked on past price performances to value portfolios. The combination portfolio held an equal weighting in value and momentum.

Sprache
Englisch

Erschienen in
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-23

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Forecasting Models; Simulation Methods
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Thema
adaptive market hypothesis
factor investing
Fourier Analysis
market efficiency
market timing
momentum investing
Value investing

Ereignis
Geistige Schöpfung
(wer)
Bezuidenhout, John-Morgan
Van Vuuren, Gary
Ereignis
Veröffentlichung
(wer)
Taylor & Francis
(wo)
Abingdon
(wann)
2021

DOI
doi:10.1080/23322039.2021.1988380
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Bezuidenhout, John-Morgan
  • Van Vuuren, Gary
  • Taylor & Francis

Entstanden

  • 2021

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