The determinants of value and growth portfolios in selected Asian countries.
Chua, Jia Leng.
Date of Issue2000
College of Business (Nanyang Business School)
This paper examines the behavior of value and growth portfolios in Hong Kong, Indonesia, Japan, Malaysia, Singapore, Taiwan and Thailand during July 1976 to December 1997 when firm size, risk, liquidity and growth potential are taken into account. Pre-crisis (July 1976 to June 1997) evidence suggests that US dollar value premiums for six out of the seven countries are positive. Indonesia is the only exception with negative premiums.
Nanyang Technological University