Expected earnings growth and portfolio performance

Ronald Best, Charles Hodges and James Yoder ()

Review of Quantitative Finance and Accounting, 2006, vol. 26, issue 4, 437 pages

Abstract: We form portfolios based on forecasted growth rates in earnings and apply stochastic dominance tests. Low expected-growth rate portfolios dominate high expected-growth rate portfolios. This suggests that the superior return performance of value stocks is not due to omitted risk factors but is a consequence of investors making systematic errors in forming earnings expectations. Copyright Springer Science + Business Media, LLC 2006

Keywords: Earnings growth; Stochastic dominance; Value stocks (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11156-006-7440-4

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