International value versus growth: evidence from stochastic dominance analysis

Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao
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Abhay Abhyankar: School of Management and Economics, University of Edinburgh, UK, Postal: School of Management and Economics, University of Edinburgh, UK
Keng-Yu Ho: Department of Finance, National Taiwan University, Taipei 106, Taiwan, Postal: Department of Finance, National Taiwan University, Taipei 106, Taiwan
Huainan Zhao: Faculty of Finance, Cass Business School, UK, Postal: Faculty of Finance, Cass Business School, UK

International Journal of Finance & Economics, 2009, vol. 14, issue 3, 222-232

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. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2009
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DOI: 10.1002/ijfe.368

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