Spectral analysis and the death of value investing

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural economic...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	John-Morgan Bezuidenhout, Gary van Vuuren
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	value investing fourier analysis market timing market efficiency factor investing momentum investing adaptive market hypothesis Finance HG1-9999 Economic theory. Demography HB1-3840
Acceso en línea:	https://doaj.org/article/e26eedeec0ae4f46abb7c0114152c7b4
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:e26eedeec0ae4f46abb7c0114152c7b4
record_format	dspace
spelling	oai:doaj.org-article:e26eedeec0ae4f46abb7c0114152c7b42021-11-26T11:19:50ZSpectral analysis and the death of value investing2332-203910.1080/23322039.2021.1988380https://doaj.org/article/e26eedeec0ae4f46abb7c0114152c7b42021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23322039.2021.1988380https://doaj.org/toc/2332-2039This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural economic changes, persistently low global interest rates and value investing’s underperformance relative to growth investment strategies. The Adaptive Market Hypothesis suggests that market efficiencies vary over time as risk and behavioral biases change with market conditions. We conducted a Fourier analysis and found a three-month cycle, a six-month cycle and a 10-year cycle in the value premium. The Fourier analysis illustrates the predictability of the value premium and the study explains the short-term cyclicality as behavioral biases. Furthermore, the longer cycles are better explained by rational asset pricing, perceived market risks and market efficiency. Historic value factor returns were sourced from value portfolios that were constructed by their rankings associated with their book to market ratios. Additionally, a combination portfolio of value and momentum was formed including returns from portfolios ranked on past price performances to value portfolios. The combination portfolio held an equal weighting in value and momentum.John-Morgan BezuidenhoutGary van VuurenTaylor & Francis Grouparticlevalue investingfourier analysismarket timingmarket efficiencyfactor investingmomentum investingadaptive market hypothesisFinanceHG1-9999Economic theory. DemographyHB1-3840ENCogent Economics & Finance, Vol 9, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	value investing fourier analysis market timing market efficiency factor investing momentum investing adaptive market hypothesis Finance HG1-9999 Economic theory. Demography HB1-3840
spellingShingle	value investing fourier analysis market timing market efficiency factor investing momentum investing adaptive market hypothesis Finance HG1-9999 Economic theory. Demography HB1-3840 John-Morgan Bezuidenhout Gary van Vuuren Spectral analysis and the death of value investing
description	This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural economic changes, persistently low global interest rates and value investing’s underperformance relative to growth investment strategies. The Adaptive Market Hypothesis suggests that market efficiencies vary over time as risk and behavioral biases change with market conditions. We conducted a Fourier analysis and found a three-month cycle, a six-month cycle and a 10-year cycle in the value premium. The Fourier analysis illustrates the predictability of the value premium and the study explains the short-term cyclicality as behavioral biases. Furthermore, the longer cycles are better explained by rational asset pricing, perceived market risks and market efficiency. Historic value factor returns were sourced from value portfolios that were constructed by their rankings associated with their book to market ratios. Additionally, a combination portfolio of value and momentum was formed including returns from portfolios ranked on past price performances to value portfolios. The combination portfolio held an equal weighting in value and momentum.
format	article
author	John-Morgan Bezuidenhout Gary van Vuuren
author_facet	John-Morgan Bezuidenhout Gary van Vuuren
author_sort	John-Morgan Bezuidenhout
title	Spectral analysis and the death of value investing
title_short	Spectral analysis and the death of value investing
title_full	Spectral analysis and the death of value investing
title_fullStr	Spectral analysis and the death of value investing
title_full_unstemmed	Spectral analysis and the death of value investing
title_sort	spectral analysis and the death of value investing
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/e26eedeec0ae4f46abb7c0114152c7b4
work_keys_str_mv	AT johnmorganbezuidenhout spectralanalysisandthedeathofvalueinvesting AT garyvanvuuren spectralanalysisandthedeathofvalueinvesting
_version_	1718409503913803776

Spectral analysis and the death of value investing

Ejemplares similares