In:
Managerial Finance, Emerald, Vol. 41, No. 8 ( 2015-8-10), p. 845-856
Abstract:
– The purpose of this paper is to use a stochastic dominance test to examine the relative performance of value vs growth stocks based on multiple value-growth proxies in the Taiwan stock market. Design/methodology/approach – This work examines whether the return distribution of a value portfolio stochastically dominates that of a growth portfolio using a test proposed by Linton et al. (2005). Findings – By applying stochastic dominance analysis on the full-sample period, the sub-sample period and the state of the world’s economic conditions, the authors find that the earnings-to-price or dividend-to-price ratio is better than the book-to-market ratio as a value-growth proxy in Taiwan. There are robust results even after adjusting for data frequency, a sampling method and sample excluding financial services. Originality/value – This study makes the first attempt to examine value vs growth strategies based on multiple value-growth proxies in the emerging market of Taiwan by administering the stochastic dominance test.
Type of Medium:
Online Resource
ISSN:
0307-4358
DOI:
10.1108/MF-07-2014-0202
Language:
English
Publisher:
Emerald
Publication Date:
2015
detail.hit.zdb_id:
2047612-7
SSG:
3,2
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