Value Bubbles

33 Pages Posted: 1 Jul 2019

See all articles by Messaoud Chibane

Messaoud Chibane

NEOMA BUSINESS SCHOOL

Samuel Ouzan

Neoma Business School

Date Written: June 30, 2019

Abstract

According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We test these theories in the cross section of returns. Value returns depend on market states. From 1926 to 2018, following negative market return, the average so-called value premium is about three time its unconditional counterpart, whereas it appears to vanish following positive market return. Moreover, several short episodes of extreme losses in momentum strategy (momentum crashes) are contemporaneous with extreme value profits (value bubbles). Our results are robust to various time varying risk- based explanations.

Keywords: Biases; Contrarian; Market Anomalies; Market Efficiency; Market States, Over-reaction; Value Premium

JEL Classification: G10, G11, G40, G41

Suggested Citation

Chibane, Messaoud and Ouzan, Samuel, Value Bubbles (June 30, 2019). Available at SSRN: https://ssrn.com/abstract=3412459 or http://dx.doi.org/10.2139/ssrn.3412459

Messaoud Chibane (Contact Author)

NEOMA BUSINESS SCHOOL ( email )

1, rue du Maréchal Juin
Mont Saint-Aignan, 76130
France

Samuel Ouzan

Neoma Business School ( email )

1 Rue du Maréchal Juin
Mont Saint Aignan Cedex, 76825
France

Register to save articles to
your library

Register

Paper statistics

Downloads
162
Abstract Views
945
rank
187,585
PlumX Metrics