Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-23
This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate … efficiencies vary over time as risk and behavioral biases change with market conditions. We conducted a Fourier analysis and found … a three-month cycle, a six-month cycle and a 10-year cycle in the value premium. The Fourier analysis illustrates the …