International Value versus Growth: Evidence from Stochastic Dominance Analysis

A. Abhyankar, K. Y. Ho, H. Zhao

Research output: Contribution to journalArticlepeer-review

Abstract

We investigate the value versus growth investment strategies from the perspective of stochastic dominance analysis. Using G7 country data on value and growth stocks, we find that value stocks stochastically dominate growth stocks only for the US, Canada, and Japan, while there are no significant stochastic dominance relationships between value and growth portfolios for the UK, France, Germany, and Italy. Our results imply that the value premium may be country and sample specific.
Original languageEnglish
Pages (from-to)222-232
Number of pages11
JournalInternational Journal of Finance and Economics
Volume14
Issue number3
DOIs
Publication statusPublished - 2009

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