“Value versus Growth Stocks and Market Returns”


                                                                               Panayotis Alexakis Department of Economics, University of Athens, 5 Stadiou Str., 10562 Athens, Greece



Abstract

This paper examines whether value stocks depict higher returns than growth stocks. It analyses the difference between high and low book to market shares and the difference between high and low earnings to price shares. The empirical evidence is drawn from all companies listed in the Athens Exchange, where data refers to the January 2003- December 2007 period.
The empirical results are interesting from both the theoretical and practical view, since our study provides an indication that investors tend to prefer value stocks or growth stocks depending on the market trend. This indicates that the inclusion of factors that account for value and growth indices can improve stock selection. Portfolio managers can improve the form of their portfolios by combining both traditional diversification strategies that use capital asset pricing model, and value/growth share characteristics. Our findings are generally in line with findings in other markets.





Keywords: Capital Asset Pricing Model, market return, market efficiency,
valuation, value stocks, growth stocks, capital markets, portfolio selectionCorrespondence  address: 5 Stadiou Str, 10562 Athens, Greece
Tel: 0030 2103689400
E-mail: paleks@econ.uoa.gr