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Value versus Growth: Stochastic Dominance Criteria
[Zeitschriftenartikel]
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 al... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode
Grundlagenforschung
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 693-704
Zeitschriftentitel
Quantitative Finance, 8 (2008) 7
DOI
https://doi.org/10.1080/14697680701668426
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)