Izvorni znanstveni članak
https://doi.org/10.2478/bsrj-2021-0032
Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis
Lea-Marija Bevanda
; Proventis Partners GmbH, Munich
Azra Zaimović
orcid.org/0000-0002-3956-4626
; The University of Sarajevo, School of Economics and Business
Almira Arnaut – Berilo
orcid.org/0000-0002-3285-9122
; The University of Sarajevo, School of Economics and Business
Sažetak
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.
Ključne riječi
value premium; Dow Jones Industrial Average; investment strategies; naïve diversification
Hrčak ID:
273012
URI
Datum izdavanja:
1.12.2021.
Posjeta: 832 *