IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v20y2010i24p1839-1849.html
   My bibliography  Save this article

New evidence on value investing in emerging equity markets

Author

Listed:
  • Zhipeng Yan
  • Yan Zhao

Abstract

We design modified value investing strategies in emerging equity markets by comparing a country's value weight with its market capitalization weight among a group of emerging countries. These strategies can be easily tested and implemented by using various country index funds. Our proposed strategy calculates the delta weight, the difference of a country's weight based on value (Gross Domestic Product (GDP), Earning-Price (EP) ratio or Dividend Yield (DY)) and its capitalization weight, for each country. If the delta weight is positive, the country's index fund is considered undervalued and the strategy is to buy delta shares of that country's equity. Conversely, if delta weight is negative, the country's index fund is deemed as overvalued and the strategy is to short delta shares of that country's equity. These market neutral delta strategies can generate annualized returns of 14.25-16.89% even with the presence of over-weighting constraints which limit the over-investment in small financial markets.

Suggested Citation

  • Zhipeng Yan & Yan Zhao, 2010. "New evidence on value investing in emerging equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(24), pages 1839-1849.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1839-1849
    DOI: 10.1080/09603107.2010.526576
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.526576
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2010.526576?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:20:y:2010:i:24:p:1839-1849. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.