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Value versus Growth : Stochastic Dominance Criteria

[journal article]

Abhyankar, Abhay; Keng-Yu Ho; Huainan Zhao

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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.
Classification Economic Statistics, Econometrics, Business Informatics
Method basic research
Document language English
Publication Year 2008
Page/Pages p. 693-704
Journal Quantitative Finance, 8 (2008) 7
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)