Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 07/08/2017 / christine

What is Value in an Equity Market?

Volume 15, Number 3, 2017
Michael Suen, Hany Guirguis, Stan Beckers and Ted Theodore

What is value in an equity market? Among investors, there is no universally accepted definition. This paper constructs a value index for the US equity market using the Stock and Watson (1988, 1991) methodology. The new value index is derived from a dynamic single factor model taking five relative valuation metrics as inputs. These inputs are commonly used by investors to gauge whether the market is expensive (low in value) or cheap (high in value). The value index is the (unobserved) common component in the Stock and Watson model. Investors can gauge whether the equity market is cheap or expensive by referring to a historical time series of the value index. We also develop a tactical asset allocation strategy based on the trend of the value index. Its performance indicates that the new value definition contains investible information.

$25.00 – Checkout Checkout Added to cart

Next Article: The Impact of Costs on Recent Target Date Fund Performance

Previous Article: Multi-Period Portfolio Rebalancing with Personal Tax

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers