The Value Spread as a Market Timing Signal: Evidence from Asia

Journal of Investment Management, 2009

25 Pages Posted: 15 Aug 2008 Last revised: 1 Mar 2009

Multiple version iconThere are 2 versions of this paper

Date Written: May 7, 2008


Using monthly data from 1992-2006, we show the value premium in Asia ex Japan is positively related to the cross-sectional dispersion of four common value ratios. The book-to-price and cash flow-to-price spreads exhibit the strongest relationship. Typical month-to-month variation in these two value spreads is often associated with a 0.4-1.0% per annum change in the value premium. Short-side positions are typically solely responsible for the positive relationship, particularly in recent years. Our results provide out of sample support for previous findings for the US market, but cast doubt on whether mean reversion alone can explain the observed value premium-spread relationship.

Keywords: value spread, value premium, market timing, Asia

JEL Classification: G11

Suggested Citation

Hyde, Charles E. and Triguboff, Michael, The Value Spread as a Market Timing Signal: Evidence from Asia (May 7, 2008). Journal of Investment Management, 2009. Available at SSRN:

Charles E. Hyde (Contact Author)

Metisq Capital ( email )

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

Michael Triguboff

MIR Investment Management ( email )

Level 40
50 Bridge Street
Sydney, New South Wales 2000


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