R&D, risks and overreaction in a market with the absence of the book-to-market effect

Value versus growth: Taiwan evidence

“…First, we find that there is no FSD or SSD relation between the value and growth portfolio based on the BM criterion for the whole sample, since we reject both of the null hypotheses in FSD, but we cannot reject both null hypotheses in SSD. This result is consistent with the widely documented fact that there is no value premium in Taiwan on the basis of BM (Fama and French, 1998;Chen and Zhang, 1998;Chui and Wei, 1998;Brown et al, 2008;Hung et al, 2012). Second, the evidence shows that there is a clear FSD (or SSD) relation of value and growth strategies based on EP and DP for the whole sample.…”

“…The stochastic dominance analyses for the full-sample period and the recent period provide strong support for the high performance of value stocks based on the EP and DP sorting criteria. In addition, our results based on the BM for the full-sample period confirm the widely documented fact that there is no BM effect in Taiwan (Fama and French, 1998;Chen and Zhang, 1998;Chui and Wei, 1998;Brown et al, 2008;Hung et al, 2012). While these results do not support the argument regarding a strong BM effect in a small concentrated market made by Gharghori et al (2013), they support the inaccurate cash-flow argument on book equity forwarded by Wang and Xu (2004).…”

“…Prior studies (Fama and French, 1998;Chen and Zhang, 1998;Chui and Wei, 1998;Ding et al, 2005;Brown et al, 2008) show that value-growth strategies do not produce significant profits for the emerging stock market of Taiwan, and recent studies (Hung et al, 2012;Ko et al, 2014) try to improve this strategy from a different dimension. However, most of them use the BM criterion to define value and growth stocks.…”

Gastos com P&D e a Expectativa de Geração de Balor nas Firmas Brasileiras

“…Another aspect that has been analyzed through the BTM ratio is the market effect. Hung et al (2012) verified Taiwanese public companies from 1991 to 2006. They found that in companies of low technology the BTM effect is perceived since there is a lower sub pricing by investors.…”

Value of financial ratios in predicting stock returns: a study on Borsa Istanbul (BIST)

“…Book to market ratio is strongly associated with risk and stock returns (Hung, Chiao, Liao, and Huang (2012)). After controlling for risk factors-book to market ratio does not provide any significant information for expected stock return (Lewellen, 1999); meanwhile book to market ratio is strongly influenced by the past activities of trading institutions that predicts the stock return and firm size (Jiang H, 2010).…”