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International value versus growth: evidence from stochastic dominance analysis

Author

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  • 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)

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.

Suggested Citation

  • Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2009. "International value versus growth: evidence from stochastic dominance analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 222-232.
  • Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:222-232 DOI: 10.1002/ijfe.368
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    References listed on IDEAS

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    Cited by:

    1. Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong, 2014. "International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 1-22, May.
    2. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.

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