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Keywords:

  • Stochastic dominance;
  • value stocks;
  • growth stocks

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.