International value versus growth: evidence from stochastic dominance analysis
Version of Record online: 9 OCT 2008
Copyright © 2008 John Wiley & Sons, Ltd.
International Journal of Finance & Economics
Volume 14, Issue 3, pages 222–232, July 2009
How to Cite
Abhyankar, A., Ho, K.-Y. and Zhao, H. (2009), International value versus growth: evidence from stochastic dominance analysis. Int. J. Fin. Econ., 14: 222–232. doi: 10.1002/ijfe.368
- Issue online: 19 JUN 2009
- Version of Record online: 9 OCT 2008
- Stochastic dominance;
- value stocks;
- growth stocks
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.