Style Timing with the Value Spread in Australia

19 Pages Posted: 12 Aug 2008

Multiple version iconThere are 2 versions of this paper

Date Written: June 25, 2008

Abstract

The value spread is shown to be positively related to the value premium in the Australian market. The relationship is statistically strong for both large cap and small cap portfolios. Our results represent out of sample support for previous studies finding a strong relationship between the value spread and the value premium in the US and Asian markets. In addition, we show that the differential between the small cap and large cap value spread is strongly positively related to the corresponding differential in the value premium, suggesting that the value spread can be used for style timing not only in the value/growth dimension, but also in the large cap/small cap dimension.

Keywords: value spread, value premium, style timing

JEL Classification: G11

Suggested Citation

Beggs, David J. and Hyde, Charles E., Style Timing with the Value Spread in Australia (June 25, 2008). Available at SSRN: https://ssrn.com/abstract=1215822 or http://dx.doi.org/10.2139/ssrn.1215822

David J. Beggs

MIR Investment Management

Level 40
50 Bridge St
Sydney, New South Wales 2000
Australia

HOME PAGE: beggsdave@yahoo.com

Charles E. Hyde (Contact Author)

Metisq Capital ( email )

Level 15
255 Pitt St
Sydney, New South Wales 2000
Australia
+612 99939184 (Phone)
+612 99946326 (Fax)

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