Value Premium in the European Stock Markets: An Alternative Test

博士 === 逢甲大學 === 金融博士學位學程 === 105 === This study uses an alternative method, stochastic dominance (SD) test, to examine the value premium on the basis of book-to-market (B/M), earnings-to-price (E/P), cash earnings-to-price (CE/P), and dividend-to-price (D/P) indicators for the 14 major European mark...

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Main Authors: TSAI, LI-CHUEH, 蔡麗雀
Other Authors: LIAO, TUNG-LIANG
Format: Others
Language:en_US
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/8kk9nv
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spelling ndltd-TW-105FCU012130022019-05-15T23:17:18Z http://ndltd.ncl.edu.tw/handle/8kk9nv Value Premium in the European Stock Markets: An Alternative Test 歐洲股票市場價值溢酬之研究:另類檢驗法 TSAI, LI-CHUEH 蔡麗雀 博士 逢甲大學 金融博士學位學程 105 This study uses an alternative method, stochastic dominance (SD) test, to examine the value premium on the basis of book-to-market (B/M), earnings-to-price (E/P), cash earnings-to-price (CE/P), and dividend-to-price (D/P) indicators for the 14 major European markets, so a total of 56 market-indicator observations are formed. The results show that 12, 42, and 2 of 56 observations, 21.4%, 75%, and 3.6%, are found to be the existence, disappearance and reversal of the value premium, respectively, before 2008 financial crisis, which is consistent with the previous studies for European markets, like Fama and French (1998), Abhyankar et al. (2009), and Li et al. (2009) for European stock markets. However, the percentages of the three counterparts are 3.6%, 66.1%, and 30.3%, respectively, after 2008. Comparing results for two periods show that the existence of the value premium sharply decreases from 21.4% to 3.6%, while the reversal of the value premium dramatically increases from 3.6% to 30.3% after 2008, which is first documented for the European markets in the literature. Whether this regularity persists in European markets is worth continual concern. LIAO, TUNG-LIANG 廖東亮 2017 學位論文 ; thesis 56 en_US
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language en_US
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description 博士 === 逢甲大學 === 金融博士學位學程 === 105 === This study uses an alternative method, stochastic dominance (SD) test, to examine the value premium on the basis of book-to-market (B/M), earnings-to-price (E/P), cash earnings-to-price (CE/P), and dividend-to-price (D/P) indicators for the 14 major European markets, so a total of 56 market-indicator observations are formed. The results show that 12, 42, and 2 of 56 observations, 21.4%, 75%, and 3.6%, are found to be the existence, disappearance and reversal of the value premium, respectively, before 2008 financial crisis, which is consistent with the previous studies for European markets, like Fama and French (1998), Abhyankar et al. (2009), and Li et al. (2009) for European stock markets. However, the percentages of the three counterparts are 3.6%, 66.1%, and 30.3%, respectively, after 2008. Comparing results for two periods show that the existence of the value premium sharply decreases from 21.4% to 3.6%, while the reversal of the value premium dramatically increases from 3.6% to 30.3% after 2008, which is first documented for the European markets in the literature. Whether this regularity persists in European markets is worth continual concern.
author2 LIAO, TUNG-LIANG
author_facet LIAO, TUNG-LIANG
TSAI, LI-CHUEH
蔡麗雀
author TSAI, LI-CHUEH
蔡麗雀
spellingShingle TSAI, LI-CHUEH
蔡麗雀
Value Premium in the European Stock Markets: An Alternative Test
author_sort TSAI, LI-CHUEH
title Value Premium in the European Stock Markets: An Alternative Test
title_short Value Premium in the European Stock Markets: An Alternative Test
title_full Value Premium in the European Stock Markets: An Alternative Test
title_fullStr Value Premium in the European Stock Markets: An Alternative Test
title_full_unstemmed Value Premium in the European Stock Markets: An Alternative Test
title_sort value premium in the european stock markets: an alternative test
publishDate 2017
url http://ndltd.ncl.edu.tw/handle/8kk9nv
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