International Value versus Growth: Evidence from Stochastic Dominance Analysis

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

doi:10.1002/ijfe.368

International Value versus Growth: Evidence from Stochastic Dominance Analysis

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

Business School

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	222-232
Number of pages	11
Journal	International Journal of Finance and Economics
Volume	14
Issue number	3
DOIs	https://doi.org/10.1002/ijfe.368
Publication status	Published - 2009

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10.1002/ijfe.368

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title = "International Value versus Growth: Evidence from Stochastic Dominance Analysis",

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.",

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AB - 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.

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JO - International Journal of Finance and Economics

JF - International Journal of Finance and Economics

IS - 3

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International Value versus Growth: Evidence from Stochastic Dominance Analysis

Abstract

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