DC FieldValueLanguage
dc.contributor.authorLoukeris, Nikolaos-
dc.contributor.authorUddin, Gazi-
dc.contributor.authorEleftheriadis, Iordanis-
dc.contributor.authorBekiros, Stelios-
dc.date.accessioned2024-04-22T10:21:25Z-
dc.date.available2024-04-22T10:21:25Z-
dc.date.issued2018-07-25-
dc.identifierscopus-85049601027-
dc.identifier.issn1940-5987-
dc.identifier.issn1940-5979-
dc.identifier.other85049601027-
dc.identifier.urihttps://uniwacris.uniwa.gr/handle/3000/2193-
dc.description.abstractPurpose: The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. The paper aims to discuss these issues. Design/methodology/approach: The authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. Findings: Value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. Overall, asset pricing models with embedded risk factors which entail either shares or dividends are logically circular behavioural simultaneities, thus invalid when tested and estimated by statistical methods as an outcome of the EMH. Originality/value: In distinctive contrast to the recent literature, the authors show that the returns from a size factor model of small stocks tend to outperform big stocks especially in crisis periods. Moreover, the authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. Overall, asset pricing models with embedded risk factors which entail either shares or dividends are logically circular behavioural simultaneities, thus invalid when tested and estimated by statistical methods as an outcome of the EMH.en_US
dc.language.isoenen_US
dc.publisherEmeralden_US
dc.relation.ispartofReview of Behavioral Financeen_US
dc.subjectBehavioural simultaneitiesen_US
dc.subjectCorporate frauden_US
dc.subjectPortfolio optimizationen_US
dc.subjectProportional sortingen_US
dc.titleRevisiting the three factor model in light of circular behavioural simultaneitiesen_US
dc.typeArticleen_US
dc.identifier.doi10.1108/RBF-08-2017-0079en_US
dc.identifier.scopus2-s2.0-85049601027-
dcterms.accessRights0en_US
dc.relation.deptDepartment of Business Administrationen_US
dc.relation.facultySchool of Administrative, Economics and Social Sciencesen_US
dc.relation.volume10en_US
dc.relation.issue3en_US
dc.identifier.spage210en_US
dc.identifier.epage230en_US
dc.collaborationUniversity of West Attica (UNIWA)en_US
dc.subject.fieldSocial Sciencesen_US
dc.journalsSubscriptionen_US
dc.publicationPeer Revieweden_US
dc.countryGreeceen_US
local.metadatastatusverifieden_US
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptDepartment of Business Administration-
crisitem.author.facultySchool of Administrative, Economics and Social Sciences-
crisitem.author.orcid0000-0002-1891-8245-
crisitem.author.parentorgSchool of Administrative, Economics and Social Sciences-
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