Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-12-01 DOI:10.2478/bsrj-2021-0032

Lea-Marija Bevanda, A. Zaimovic, Almira Arnaut-Berilo

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引用次数: 3

Abstract

Abstract Background: Due to strong empirical evidence from different markets, existence of value premium became a financial theory standpoint. Although previous studies found that value stocks beat growth stocks in bearish and bullish markets, during the GFC, value stocks underperformed growth stocks. Objectives: 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. Methods/Approach: 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, T-test, and the One-Sample T-test. Results: 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. Conclusions: 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.

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全球金融危机后价值型和成长型股票的表现

摘要背景:由于来自不同市场的强有力的经验证据，价值溢价的存在成为金融理论的立足点。虽然之前的研究发现，在看跌和看涨市场中，价值型股票优于成长型股票，但在全球金融危机期间，价值型股票的表现不如成长型股票。目的:本文旨在考察全球金融危机后价值股和成长型股票组合的表现。我们的分析对象是道琼斯工业平均指数的成分股公司，从中构建和评估了大盘股和成长型股票的投资组合。方法/方法:基于naïve分散原则和随机加权法建立股票投资组合，对其绩效进行衡量。统计检验包括Levene’s齐性检验、Mann-Whitney U检验、t检验和单样本t检验。结果:全球金融危机后，成长型股票投资组合表现优于价值型股票投资组合。成长型股票组合相对于价值型股票组合的优势显著，价值溢价消失。结论:金融理论和投资管理启示表明，自2009年以来，成长型股票已经超过价值型股票。原因可能在于:(1)以长期利率极低为特征的扩张性货币政策;(2)大多数成长型股票所属的科技行业表现优异。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.