Value Strategy – Test on the Warsaw Stock Exchange
Abstract
This paper examines whether a value strategy can shift the distribution of returns earned by an investor. The strategy divides the universe of stocks annually into book-to-market (B/M), earning-to-price (E/P) and market value (CAP) deciles. These ratios are used to sort individual stocks into portfolios. The paper provides evidence that the value strategies produce lower returns than WIG. The second result is that B/M and CAP have statistically significant predictive power for portfolios returns.
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DOI: http://dx.doi.org/10.17951/h.2016.50.4.413
Date of publication: 2017-02-20 17:31:15
Date of submission: 2016-05-16 02:28:34
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