Is the Value Effect Seasonal? Evidence from Global Equity Markets

The International Journal of Business and Finance Research, Vol. 6, No. 2, pp. 21-33, 2012

13 Pages Posted: 6 Jan 2012

See all articles by Praveen Das

Praveen Das

University of Louisiana at Lafayette

S. P. Uma Rao

University of Louisiana at Lafayette

Date Written: 2012

Abstract

This paper extends the research on value premium by examining patterns of seasonality exhibited in the book-to-market effect in major global equity markets. The results provide evidence supporting the January effect in the value premium phenomenon. Using stock market indices for Asia Pacific; Europe, Australasia, and Far East (EAFE); and Europe, with and without the U.K., Scandinavian countries, the U.K., U.S., and Japan form 1975 through 2007, the paper provides out-of-sample evidence from twenty-one countries that comprise different index portfolios. As a robustness measures, we use regression analysis, paired means tests, and non-parametric tests to examine whether the persistence of the anomalous January value premium is real and significant. The annualized excess January value premium ranges from 42.96 percent for Scandinavian countries to 9.24 percent for EAFE markets with 20.28 percent for U.S. Even though such a predictable pattern exists, our analysis suggests that large standard deviations would not allow a viable investment strategy.

Keywords: Value premium, International equity market, January effect

JEL Classification: G12

Suggested Citation

Das, Praveen and Rao, S. P. Uma, Is the Value Effect Seasonal? Evidence from Global Equity Markets (2012). The International Journal of Business and Finance Research, Vol. 6, No. 2, pp. 21-33, 2012. Available at SSRN: https://ssrn.com/abstract=1948780

Praveen Das (Contact Author)

University of Louisiana at Lafayette ( email )

Lafayette, LA 70504
United States

S. P. Uma Rao

University of Louisiana at Lafayette ( email )

Lafayette, LA 70504
United States

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