Value and Growth Stock Price Behavior during Stock Market Declines

Abstract

Using data for five major stock market declines during the 1987–2008 period and controlling for beta, firm size, and industry group, this article provides evidence that value stocks are generally less sensitive to major stock market declines than growth stocks. Further analysis using hundreds of different significant market move events between 1980 and 2015 confirms the observation that value stocks tend to outperform both the market average and growth stocks during market declines. The implication for investment practitioners is that following a value strategy does not lead one to assume greater sensitivity to unfavorable market conditions.