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An Investigation of the Value Premium in the UK Stock Market 1988-2002: Some New Evidence


Panagiotis Andrikopoulos


De Montfort University - Department of Accounting and Finance

Arief Daynes


University of Portsmouth - Business School

May 2004



Abstract:     
The value premium in the UK stock market for the period 1988-2002 is investigated using a new, survivorship-bias-free, look-ahead-bias-free database, SFD Capital UK Fully Listed. A series of classification and regression tests are carried out, following a similar methodology to Lakonishok, Shleifer & Vishny, 1994. The main findings are (1) an economically significant value premium exists, although smaller than that reported in previous UK studies, (2) value is less risky than growth, using the standard risk measures beta and standard deviation, and (3) a powerful small firm effect persists in the UK market during 1988 to 2002.

Number of Pages in PDF File: 45

Keywords: Value Premium, Contrarian Investments, Behavioural Finance, SFD Capital UK Fully Listed

JEL Classification: G11, G12, G14

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Date posted: May 25, 2004  

Suggested Citation

Andrikopoulos, Panagiotis and Daynes, Arief, An Investigation of the Value Premium in the UK Stock Market 1988-2002: Some New Evidence (May 2004). Available at SSRN: http://ssrn.com/abstract=549865 or http://dx.doi.org/10.2139/ssrn.549865

Contact Information

Panagiotis Andrikopoulos
De Montfort University - Department of Accounting and Finance ( email )
The Gateway
LE1 9BH
Leicester
United Kingdom
+44(0)116 250 6331 (Phone)
+44(0)116 251 7548 (Fax)
Arief Daynes (Contact Author)
University of Portsmouth - Business School ( email )
Portsmouth, PO1 3DE
United Kingdom
+44 23 92844182 (Phone)
+44 23 92844037 (Fax)
HOME PAGE: http://www.port.ac.uk/departments/academic/ams/staff/title,1246,en.html
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