Value versus growth in PIIGS stock markets
Abstract
Purpose
The purpose of this paper is to construct and evaluate value and growth portfolios in Portugal, Italy, Ireland, Greece and Spain, which are commonly known as the EU PIIGS, from 2003 to 2015. Previous research evidence suggests that stocks trading at a lower price relative to their fundamentals (value stocks) tend to outperform stocks that trade at higher prices (growth stocks) in the long run. Although this market anomaly has been studied immensely worldwide, especially for the US stock market, there is no clear evidence whether such an assertion is applicable in less-renowned countries.
Design/methodology/approach
The paper utilises Fama and Macbeth (1973) regressions and its model extensions.
Findings
This paper finds a significant value premium in these countries, which is compatible with previous studies conducted worldwide.
Originality/value
To the best of the authors’ knowledge, this is the first attempt to examine this asset pricing anomaly in the PIIGS.
Keywords
Acknowledgements
The authors of this paper have not made their research data set openly available. Any enquiries regarding the data set can be directed to the corresponding author. The study receives financial support from national funds by FCT (Fundação para a Ciência e a Tecnologia). This paper is part of the Strategic Project: UID/ECO/00436/2013.
Citation
Garcia, M.T.M. and Oliveira, R.A.A. (2018), "Value versus growth in PIIGS stock markets", Journal of Economic Studies, Vol. 45 No. 5, pp. 956-978. https://doi.org/10.1108/JES-06-2017-0160
Publisher
:Emerald Publishing Limited
Copyright © 2018, Emerald Publishing Limited