oa South African Journal of Economic and Management Sciences - Style action and emerging-market securities imperfections: an Asean study
|Article Title||Style action and emerging-market securities imperfections: an Asean study|
|© Publisher:||University of Pretoria|
|Journal||South African Journal of Economic and Management Sciences|
|Affiliations||1 Graduate School of Business, University of Durban-Westville|
|Publication Date||Mar 2002|
|Pages||85 - 110|
|Keyword(s)||ASEAN countries, Association of South East Asian Nations, Bear market, Economics, Equity-style timing, Finance, G l0, Investments, JEL, Market conditions, Market phase, Market segments, Short-term switching strategies, Style action and Style effectiveness|
ISI Social Science
This study is concerned with devising short-term switching strategies to capitalize on abnormal return opportunities by examining the interaction between style action and market phase. Thus it seeks to determine whether styles do better under different market conditions. A total of 288 stocks from five ASEAN countries over an eight-year period comprising four distinct market segments are considered. Market phases are distinguished by recursive regression estimation while the portfolios are scored by use of a mean variance/ tracking-error methodology. The statistical significance of the performance of each individual style, so rated, is investigated parametrically. The study concludes that value reigns under most market conditions, except for the early bull period where growth investing is superior.
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