VALUE VERSUS GROWTH STOCKS BEHAVIOUR - Bevanda, Lea-Marija
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Due to strong empirical evidence from different markets, the existence of value premium became a financial theory standpoint.This paper aims to examine the performance of value and growth stock portfolios after the GFC. Subjects of our analysis are constituent companies of the DJIA index, out of which portfolios of large-cap value and growth stocks have been constructed and evaluated. We measure the performance of stock portfolios, which are created based on the naïve diversification rule and random weighting approach. Statistical testing includes Levene's homogeneity test, the Mann-Whitney U…mehr

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Produktbeschreibung
Due to strong empirical evidence from different markets, the existence of value premium became a financial theory standpoint.This paper aims to examine the performance of value and growth stock portfolios after the GFC. Subjects of our analysis are constituent companies of the DJIA index, out of which portfolios of large-cap value and growth stocks have been constructed and evaluated. We measure the performance of stock portfolios, which are created based on the naïve diversification rule and random weighting approach. Statistical testing includes Levene's homogeneity test, the Mann-Whitney U test, the T-test, and the One-Sample T-test. Growth stock portfolios outperform value stock portfolios after the GFC. The dominance of growth stock portfolios compared to value stock portfolios is significant, and the value premium disappears. Financial theory and investment management implications show that growth stocks have overtaken the dominance over value stocks since 2009. Causes might be in (1) expansionary monetary policy characterized by very low long-term interest rates and (2) high performance of the tech industry to which most growth stocks belong.
Autorenporträt
Lea-Marija Bevanda ha conseguito un master in Gestione finanziaria presso la Scuola di Economia e Commercio dell'Università di Sarajevo. Si è inoltre formata presso il COMCAVE.COLLEGE di Monaco di Baviera nel campo della gestione di progetti agili, dell'organizzazione e del coordinamento secondo SCRUM.