Style Timing with the Value Spread in Australia

18 Pages Posted: 24 Nov 2009

See all articles by Charles E. Hyde

Charles E. Hyde

affiliation not provided to SSRN

David J. Beggs

MIR Investment Management

Multiple version iconThere are 2 versions of this paper

Date Written: 2009-02-19

Abstract

The value spread is shown to be positively related to the value premium in the Australian market. The relationship is especially strong for small cap portfolios and typically stronger when using the book-to-price ratio than other value metrics. In small cap portfolios, the positive value premium-spread relationship is primarily driven by the short side. Our results are consistent with previous findings in US and Asian markets. We also show that the small cap-large cap value spread differential is positively related to the corresponding value premium differential, suggesting the value spread can also be used for timing the large/small cap tilt.

Suggested Citation

Hyde, Charles E. and Beggs, David J., Style Timing with the Value Spread in Australia (2009-02-19). Accounting & Finance, Vol. 49, Issue 4, pp. 781-798, December 2009, Available at SSRN: https://ssrn.com/abstract=1512860 or http://dx.doi.org/10.1111/j.1467-629X.2009.00303.x

Charles E. Hyde (Contact Author)

affiliation not provided to SSRN

No Address Available

David J. Beggs

MIR Investment Management

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

HOME PAGE: beggsdave@yahoo.com

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