Value and Growth Stock Price Behavior During Stock Market Declines

Posted: 21 May 2019

See all articles by Daniel Folkinshteyn

Daniel Folkinshteyn

Rowan University - Accounting & Finance

Gulser Meric

Rowan University - Accounting & Finance

Ilhan Meric

Rider University

Date Written: July 27, 2016

Abstract

Using data for five major stock market declines during the 1987-2008 period, this paper provides evidence that value stocks are generally less sensitive to major stock market declines than growth stocks, controlling for beta, firm size, and industry group. Further analysis using several hundred 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.

Keywords: value, growth, crash, decline, value premium, risk

JEL Classification: G11, G14

Suggested Citation

Folkinshteyn, Daniel and Meric, Gulser and Meric, Ilhan, Value and Growth Stock Price Behavior During Stock Market Declines (July 27, 2016). Journal of Investing, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2814956 or http://dx.doi.org/10.2139/ssrn.2814956

Daniel Folkinshteyn (Contact Author)

Rowan University - Accounting & Finance ( email )

Glassboro, NJ 08028
United States

Gulser Meric

Rowan University - Accounting & Finance ( email )

Glassboro, NJ 08028
United States

Ilhan Meric

Rider University ( email )

2083 Lawrenceville Road
Lawrenceville Township, NJ 08648
United States

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