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
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-23
- Klassifikation
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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
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Veröffentlichung
- (wer)
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Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2021
- DOI
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doi:10.1080/23322039.2021.1988380
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Bezuidenhout, John-Morgan
- Van Vuuren, Gary
- Taylor & Francis
Entstanden
- 2021
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