价值与成长股回报:国际证据(JES)

IF 4.3 Q2 MANAGEMENT
M. E. Neves, Mário Abreu Pinto, Carla Manuela de Assunção Fernandes, E. F. Simões Vieira
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引用次数: 2

摘要

本研究旨在分析具有较强成长潜力的公司(成长型股票)和股价较低但价值较高的公司(价值股)的收益。样本包括2002年1月至2016年12月的月度数据,来自德国、法国、瑞士、英国、葡萄牙、美国和日本七个国家。作者对危机前、次贷危机和危机后三个不同时期使用了线性回归模型。研究结果指出,在全球金融危机的不同时期,价值股和成长型股票的表现有所不同。事实上,在次贷危机之前,有6个国家的价值型股票表现优于成长型股票,而在危机期间,只有法国、葡萄牙和日本保持了这种趋势。这一趋势在危机之后发生了变化。结果还表明,投资者情绪对价值型和成长型股票的回报具有显著的显著性,且主要发生在危机前,突出表明投资者情绪在价值型股票表现优于成长型股票的时刻更为显著。原创性/价值据作者所知,这是第一次考虑到Capaul等人(1993)的未来研究方向,调查这些作者获得的结果是否仍然是最新的,满足了作者的挑战,并弥补了最近关于价值型和成长型股票表现研究的空白。此外,作者还引入了一个受全球金融危机和主权债务危机双重打击的新国家,以了解投资风格是否存在显著差异,以及这是否与不同的经济体有关。此外,在这种背景下,作者是在增加投资者情绪作为股票收益影响的外生变量的先驱。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Value and growth stock returns: international evidence (JES)
Purpose This study aims to analyze the returns obtained from companies with strong growth potential (growth stocks) and the returns from companies with quite low stock prices, but with high value (value stocks). Design/methodology/approach The sample comprises monthly data, from January 2002 to December 2016, from seven countries, Germany, France, Switzerland, the UK, Portugal, the USA and Japan. The authors have used linear regression models for three different periods, the pre-crisis, subprime crisis and post-crisis period. Findings The results point out that the performance of value and growth stocks differs from different periods surrounding the global financial crisis. In fact, for six countries, value stocks outperformed growth stocks in the period that precedes the subprime crisis and during the crisis, this tendency remained only for France, Portugal and Japan. This trend changed in the period following the crisis. The results also show that investor sentiment has a robust significance in value and growth stock returns, mostly in the period before the crisis, highlighting that the investor sentiment is more significant in the moments that the value stocks outperformed. Originality/value As far as the authors know, this is the first work that, taking into account the future research lines of Capaul et al. (1993), investigates whether the results obtained by those authors remain current, meeting the authors’ challenge and covering the gap of recent studies on the performance of value and growth stocks. Besides, the authors have introduced a new country, heavily punished by both the global financial crisis and the sovereign debt crisis to understand whether there are significant differences in investment styles and whether this is related to the different economies. Also, in this context, the authors were pioneers in adding investor sentiment as an exogenous variable in the influence of stock returns.
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来源期刊
CiteScore
7.90
自引率
3.00%
发文量
28
期刊介绍: The International Journal of Accounting & Information Management focuses on publishing research in accounting, finance, and information management. It specifically emphasizes the interaction between these research areas on an international scale and within both the private and public sectors. The aim of the journal is to bridge the knowledge gap between researchers and practitioners by covering various issues that arise in the field. These include information systems, accounting information management, innovation and technology in accounting, accounting standards and reporting, and capital market efficiency.
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