Australian evidence on the implementation of the size and value premia

Title: Australian evidence on the implementation of the size and value premia
Creator: Docherty, Paul; Chan, Howard; Easton, Steve
Relation: Accounting and Finance Vol. 53, Issue 2, p. 367-391
Publisher Link: http://dx.doi.org/10.1111/j.1467-629X.2011.00464.x
Publisher: Wiley-Blackwell Publishing
Resource Type: journal article
Date: 2013
Description: This study investigates whether passive investment managers can exploit the size and value premia without incurring prohibitive transaction costs or being exposed to substantial tracking error risk. Returns on the value premium are shown to be pervasive across size groups, while the size premium is nonlinear and driven by microcaps. The value premium cannot be explained by the capital asset pricing model; however, returns on value portfolios do covary across monetary regimes. The substantial turnover required to achieve annual rebalancing and the relative illiquidity of Australian small-cap firms means that investing in a portfolio of large-cap value firms appears to be the best way for passive fund managers to exploit the Fama and French (1993) premia.
Subject: size; value; risk; liquidity
Identifier: http://hdl.handle.net/1959.13/1051653
Identifier: uon:15301
Identifier: ISSN:0810-5391
Rights: The definitive version is available at www.onlinelibrary.wiley.com
Language: eng
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