Export für Ihre Literaturverwaltung

Übernahme per Copy & Paste
Bibtex-Export
Endnote-Export

       

Weiterempfehlen

Bookmark and Share


Value versus Growth : Stochastic Dominance Criteria

[Zeitschriftenartikel]

Abhyankar, Abhay; Keng-Yu Ho; Huainan Zhao

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221133

Weitere Angaben:
Abstract In this paper, we study the relative performance of value versus growth strategies from the perspective of stochastic dominance. Using half century US data on value and growth stocks, we find no evidence against the widely documented fact that value stocks stochastically dominate growth stocks in all three orders of stochastic dominance relations over the full sample period as well as during economic boom (good) periods. However, we observe no significant stochastic dominance relation between value and growth stocks during recession (bad) periods, which is inconsistent with the risk-based predictions but is better explained by behavioural models.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Grundlagenforschung
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 693-704
Zeitschriftentitel Quantitative Finance, 8 (2008) 7
DOI http://dx.doi.org/10.1080/14697680701668426
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
top