Value versus growth
SubjectΜετοχές ; Stocks ; Ανάλυση επενδύσεων ; Investment analysis ; Asset allocation ; Διαχείριση χαρτοφυλακίου ; Διαχείριση κινδύνου ; Risk management ; Portfolio management
A large body of literature -starting with the classical paper by Fama and French has found evidence that value and growth factors are important in determining the cross section of expected equity returns, over and above systematic market risk. This project aims at investigating the implications of this finding for optimal asset allocation .In particular we aim at assessing the role of value stocks and growth stocks in enhancing the return-risk trade -off of a stock market investor. If value and growth are important determinants of an optimal stock portfolio, then portfolios including such stocks should systematically over perform the market index. Consequently, we will test the performance of value and growth portfolios using tests for intersection and spanning.