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International value versus growth: evidence from stochastic dominance analysis

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Author Info

  • Abhay Abhyankar

    (School of Management and Economics, University of Edinburgh, UK)

  • Keng-Yu Ho

    (Department of Finance, National Taiwan University, Taipei 106, Taiwan)

  • Huainan Zhao

    (Faculty of Finance, Cass Business School, UK)

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    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.

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    File URL: http://hdl.handle.net/10.1002/ijfe.368
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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

    Volume (Year): 14 (2009)
    Issue (Month): 3 ()
    Pages: 222-232

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    Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:222-232

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    Web page: http://www.interscience.wiley.com/jpages/1076-9307/

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    1. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
    2. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-93, September.
    3. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
    4. Joy, O. Maurice & Porter, R. Burr, 1974. "Stochastic Dominance and Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(01), pages 25-31, January.
    5. Davidson, R. & Duclos, J.-Y., 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," G.R.E.Q.A.M. 98a14, Universite Aix-Marseille III.
    6. Porter, R. Burr, 1973. "An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(04), pages 587-608, September.
    7. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
    8. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    9. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February.
    10. Tehranian, Hassan, 1980. " Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance," Journal of Finance, American Finance Association, vol. 35(1), pages 159-71, March.
    11. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    12. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
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