Value versus growth in PIIGS stock markets

Maria Teresa Garcia () and Ricardo António Abreu Oliveira

Journal of Economic Studies, 2018, vol. 45, issue 5, 956-978

Abstract: Purpose - The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from 2003 to 2015. Previous research evidence suggests that stocks trading at a lower price relative to their fundamentals (value stocks) tend to outperform stocks that trade at higher prices (growth stocks) in the long run. Although this market anomaly has been studied immensely worldwide, especially for the US stock market, there is no clear evidence whether such an assertion is applicable in less-renowned countries. Design/methodology/approach - The paper utilises Fama and Macbeth (1973) regressions and its model extensions. Findings - This paper finds a significant value premium in these countries, which is compatible with previous studies conducted worldwide. Originality/value - To the best of the authors’ knowledge, this is the first attempt to examine this asset pricing anomaly in the PIIGS.

Keywords: Asset pricing; Value premium; Fundamental ratios; M41; G10; G11; G12; G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-06-2017-0160

DOI: 10.1108/JES-06-2017-0160

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