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Rationalizing the value premium in emerging markets

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dc.contributor.authorMuhammed-Shahid Ebrahim
dc.contributor.authorSourafel Girmab
dc.contributor.authorMohamed Eskandar Shah Mohd Rasid
dc.contributor.authorJonathan William
dc.date.accessioned2016-07-25T20:05:42Z
dc.date.available2016-07-25T20:05:42Z
dc.date.issued2014
dc.description.abstractWe reconfirm the presence of value premium in emerging markets. Using the Brazil-Turkey-India-China (BTIC) grouping during a period of substantial economic growth and stock market development, we attribute the premium to the investment patterns of glamour firms. We conjecture based on empirical evidence that glamour firms hoard cash, which delays undertaking of growth options, especially in poor economic conditions. Whilst this helps to mitigate business risk, it lowers market valuations and drives down expected returns. Our evidence supports arguments that the value premium is explained by economic fundamentals rather than a risk factor that is common to all firms.
dc.identifier.citationEbrahim, M., Girmab, S., Mohd Rasid, M. E. S., & William, J. (2014). Journal of International Financial Markets, Institutions and Money, 29, pp. 51–70.
dc.identifier.doihttps://doi.org/10.1016/j.intfin.2013.11.005
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1378
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.rights2014. Elsevier
dc.sourceCRP
dc.subjectAsset pricing
dc.subjectMultifactor models
dc.subjectReal options
dc.subjectValue (i.e., unspectacular) stocks
dc.subjectGrowth (i.e., glamour) stocks
dc.titleRationalizing the value premium in emerging markets
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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