| Summary: | 碩士 === 國立中央大學 === 企業管理研究所 === 93 === Abstract
There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Furthermore, non-U.S. stocks whose issuing companies have characteristics similar to those that define U.S. growth and value companies also appear to produce different risk-adjusted average returns for long periods of time. This evidence, as well as the growing emphasis on global diversification in general, underscores the need for a system of accurate global equity style indices.
The important distinguishing features of this paper is:
We measure growth and value with three and four variables, respectively, not just book to price, or EPS. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiate these two styles.
We measure growth and value with eight and five variables, respectively, not just book to price. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiates these two styles. Our multidimensional approach extends the distinction between growth and value beyond the simple distinction between expensive and cheap.
Keywords:
Clustering analysis, quarterly equity styles
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