Original Research

Style action and emerging-market securities imperfections: An Asean study

Ashley G. Frank
South African Journal of Economic and Management Sciences | Vol 5, No 1 | a2666 | DOI: https://doi.org/10.4102/sajems.v5i1.2666 | © 2018 Ashley G. Frank | This work is licensed under CC Attribution 4.0
Submitted: 09 July 2018 | Published: 31 March 2002

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Ashley G. Frank, Graduate School of Business, University of Durban-Westville, South Africa

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This study is concerned with devising short-term switching strategies to capitalize on abnormal return opportunities by examining the interaction between style action and market phase. Thus it seeks to determine whether styles do better under different market conditions. A total of 288 stocks from five ASEAN countries over an eight-year period comprising four distinct market segments are considered. Market phases are distinguished by recursive-regression estimation while the portfolios are scored by use of a meanvariance/ tracking-error methodology. The statistical significance of the performance of each individual style, so rated, is investigated parametrically. The study concludes that value reigns under most market conditions, except for the early bull period where growth investing is superior.


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