Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis (original) (raw)
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Over the last ten years, U.S. growth stocks have outperformed U.S. value stocks by an average 7.8% per year.1 Such eye-watering underperformance of value has been atypical historically. As Figure 1 illustrates, the value factor as defined by Fama-French has on average outperformed growth over ten-year time horizons going back to 1936. This has led some to question the existence of the value premium. While we believe that the rationale for the premium— which is supported by a deep body of academic literature2—is sound, the depth and persistence of value’s recent underperformance is striking.
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A great deal of academic empirical research has been published on value arid growth investing. We review and update this literature, discuss the various explanations for the performance of value versus growth stocks, review the empirical research on the alternative explanations, and provide some new results based on an updated and expanded sample. The evidence suggests that, even after taking into account the experience of the late 1990s, value investing generates superior returns. Common measures of risk do not support the argument that the return differential is a result of the higher riskiness of value stocks. Instead, behavioral considerations and the agency costs of delegated investment management lie at the root of the value-growth spread.
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A comparison between growth and value stocks in Tehran stock exchange
Nowadays, Growth and value stocks are the important subjects in capital markets. First, these two stocks based on different variables such as Estimation of their amount of risks and returns, circumstances of obtaining returns at different periods in up and down market conditions were realized in Tehran Stock Exchange. Then Growth stock with Value Stock was compared through variables such as firm size, return and risk premium. In this research, data of 123 listed companies during years 2001 to 2004 was collected and t-student test using SPSS software was applied. The results show that firm size is not suitable to realize growth and value stock from each other. Also an investor by purchasing the growth stock obtains the risk premium more than value stock in up market and growth stocks returns are greater than value stock returns in Tehran stock exchange.
Value versus Growth on the Dhaka Stock Exchange: Risk- Return Relationship
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This paper examines the risk-return relationship in Dhaka Stock Exchange during 2000- 2009. The P/E and the P/B ratios are used to classify value and growth stocks. The risk-return relationship is positive and statistically significant for P/E sorted portfolios. However P/B sorted portfolios cannot be satisfied the positive risk-return relationship. The value stocks portfolio is less risky but produces higher returns than that of growth stocks portfolio. This paper sheds light on the discussion of efficiency of value stocks portfolio and growth stocks portfolio and also their risk -adjusted performance. The study found that value stocks portfolio is more efficient than that of growth stocks portfolio. The risk –adjusted performance of value stocks portfolio is better than that of growth stocks portfolio i.e. value stocks portfolio outperforms growth stocks portfolio. However, the paper shows that a P/E based search process does a better job of identifying value stocks and arriving a...
GROWTH VS VALUE INVESTING STYLE PERFORMANCE IN DIFFERENT BUSINESS CYCLES IN EMERGING AND DEVELOPED NATIONS, 2023
For many years, financial researchers and investment analysts have argued that value stocks outperform growth stocks overtime and vice-a-versa. While a large body of empirical evidence supports both the arguments, The time period of this comparisons was not significant enough to get a clear picture about the same. Previous studies on this topic find no significant and logical results. Results if significant, were different for each nations, business cycles and nature of the portfolio and varied from time to time.This study sought to extend the evidence of performance of Growth vs Value Portfolios of Developed nation (United State of America) and Emerging Nation (India) during two business cycles (Expansion and Recession). 3 Mutual funds comprising of Growth and Value portfolios each were sampled for both the nations by collecting their historical Net Asset Value for the period of 2007 to 2021 by performing cross-correlation analysis. Annualised returns were calculated for all the business cycles and compared with benchmark (NIFTY 50 for India & S&P500 for USA).In summary, the study concludes that in the emerging market, Value portfolio significantly outperformed the growth portfolio in all the business cycles whereas for the Developed nation, Growth portfolio outperformed Value portfolio in all the business cycles.