Efficiency of capital markets: a new perspective on the value premium and day-of-the-week effect

摘要

Investigating a much greater breadth of markets than ever before using daily data, we find no evidence of a value premium in either developed or emerging markets since the last studies were performed over a decade and a half ago, suggesting the previously documented anomaly has been exhaustively exploited. Also, using value-growth style investing preferences for the first time in examining the day-of-the-week effect, we find support for the previously documented anomaly in emerging markets only and primarily for value stocks. These results suggest that investment strategies based on the value premium no longer are effective and that day-of-the-week strategies should focus on emerging market value stocks only in the quest to generate risk adjusted profits.