The value premium : the value premium over the bull-bear market and the economical cycle

2011

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2011 The master thesis “The Value Premium over the Bull-Bear Market and the Economical cycle” is devoted to the analysis of the time variations in the value premium during the bull-bear markets and the economic cycle. A regression model with a dummy variable was used as the main analytical tool. It was confirmed that the CAPM fails to explain the value premium in the later historical period in accordance with the studies of Lakonishok and Shapiro (1986) and Fama and French (1993 and 2006). It is found that the value stocks tend to do better in bear market which concretizes the hypothesis of Petkova and Zhang (2005) that the v…