RT Journal Article
SR Electronic
T1 Value and Growth Stock Price Behavior during Stock Market Declines
JF The Journal of Investing
FD Institutional Investor Journals
SP 41
OP 52
DO 10.3905/joi.2017.26.4.041
VO 26
IS 4
A1 Daniel Folkinshteyn
A1 Gulser Meric
A1 Ilhan Meric
YR 2017
UL https://pm-research.com/content/26/4/41.abstract
AB 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.TOPICS: Fundamental equity analysis, analysis of individual factors/risk premia