Abstract
The existences of size premium and value premium in stock markets have been well studied. However, these studies mostly focus on U.S. market and have been limited in countries such as Thailand. In the Stock Exchange of Thailand, we examined the performance of small stocks portfolios versus large stocks portfolios and value stocks portfolios versus growth stocks portfolios for the period of 1999 through 2013. Returns on portfolios are calculated on a monthly basis. Our findings are: first, there is a size premium in the Stock Exchange of Thailand and the difference between the average monthly returns is 2.02 percent; second, value stocks do not generate higher average monthly returns than growth stocks and it is true for both small size stocks and large size stocks.
Highlights
Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. Barberis & Shleifer (2003) contend that the reasons behind such classifications in financial market are sometimes financial innovation or it can be because of finding a premium in a group of stocks with similar features
The result in panel A demonstrates that, there is no statistical difference between average monthly returns of small-value stock portfolios and small-growth stock portfolios
The results indicate that small-value stock portfolios do not outperformed the small-growth stock portfolios
Summary
Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. Barberis & Shleifer (2003) contend that the reasons behind such classifications in financial market are sometimes financial innovation or it can be because of finding a premium in a group of stocks with similar features. Stocks are usually classified according to their characteristics which are unique enough such that the performance of each category can be differentiated from another. The major classifications of stocks can be broken into following categories: The first classification is small-cap and large-cap. Capitalization level is probably the most common way to classify and differentiate stocks in stock market and Banz (1981) is one of the first scholars who classify stock based on their market value. The second most common classification is value and growth stocks. Value stocks are those that have low price to book (P/B), price to earnings (P/E), and price to cash flow (P/C) ratios while growth stocks are those that have high price to book (P/B), price to earnings (P/E), and price
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