IDEAS home Printed from https://ideas.repec.org/a/eco/journ1/2023-04-17.html
   My bibliography  Save this article

Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia

Author

Listed:
  • Hani Rohuma

    (Faculty of Economics, University of Benghazi, Benghazi, Libya.)

Abstract

The main objective of this research is to construct hypothetical value and growth portfolios and compare their performance on Bursa Malaysia over the examination period from 1 January 2006 to 1 January 2020 (168 months). This research also analyses whether there are differences in the performance between value and growth stocks in different sizes of the issuing company. Risk and return characteristics, risk-adjusted return, and the sample paired t-test are examples of statistical tests used in this research. The results emphasised that the average value premium over the examination period was 1%, and hence, the performance of growth and value stocks was broadly similar. When the capitalisation levels of issuing firms are taken into account, the results during the entire examination and the global financial crisis affirmed that the size effect exists only in the value category, while in the growth category, it does not exist. On the other hand, the value effect exists in the large-cap and small-cap categories. Besides, the value effect in small-cap stocks is higher compared to large-cap stocks. Finally, the results also demonstrate that value stocks have a significantly higher mean return than growth stocks at a level of 0.05, despite the firm's size.

Suggested Citation

  • Hani Rohuma, 2023. "Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia," International Journal of Economics and Financial Issues, Econjournals, vol. 13(4), pages 143-151, July.
    • Handle: RePEc:eco:journ1:2023-04-17
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijefi/article/download/14649/7433
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijefi/article/view/14649
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Angela J Black & Bin Mao & David G McMillan, 2009. "The value premium and economic activity: Long-run evidence from the United States," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 305-317, December.
    2. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
    3. Chongsoo An & John J. Cheh & Il-woon Kim, 2017. "Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-7.
    4. N Beneda, 2002. "Growth stocks outperform value stocks over the long term," Journal of Asset Management, Palgrave Macmillan, vol. 3(2), pages 112-123, September.
    5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    2. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    3. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    4. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
    5. Sudipta Das, 2019. "Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 339-354, September.
    6. Shi, Jinyan & Yu, Conghui & Liu, Xiangkun & Li, Yanxi, 2020. "Predicting firm stock returns with customer stock returns: Moderating effects of customer characteristics," Research in International Business and Finance, Elsevier, vol. 54(C).
    7. Zaremba, Adam & Maydybura, Alina, 2019. "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, vol. 38(C), pages 219-238.
    8. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    9. Foye, James, 2018. "A comprehensive test of the Fama-French five-factor model in emerging markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 199-222.
    10. Ailie Charteris & Mukashema Rwishema & Tafadzwa-Hidah Chidede, 2018. "Asset Pricing and Momentum: A South African Perspective," Journal of African Business, Taylor & Francis Journals, vol. 19(1), pages 62-85, January.
    11. Kim, Jang Ho & Han, Jiwoon & Kang, Taehyeon & Fabozzi, Frank J., 2023. "A machine learning approach for comparing the largest firm effect," Emerging Markets Review, Elsevier, vol. 54(C).
    12. Federico Gagliolo & Gabriele Cardullo, 2020. "Value Stocks and Growth Stocks: A Study of the Italian Market," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 7-15.
    13. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
    14. Mejda Dakhlaoui & Marjène Rabah Gana, 2015. "Estimating the Cost of Equity Capital: An Empirical Analysis in the Tunisian Context," Accounting and Finance Research, Sciedu Press, vol. 4(2), pages 110-110, May.
    15. Zaremba Adam & Konieczka Przemysław, 2017. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(3), pages 26-47, September.
    16. Manish Bansal & Asgar Ali, 2021. "Differential impact of earnings management on the accrual anomaly," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 559-572, December.
    17. Maria Elisabete Neves & Mário Abreu Pinto & Carla Manuela de Assunção Fernandes & Elisabete Fátima Simões Vieira, 2021. "Value and growth stock returns: international evidence (JES)," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, vol. 29(5), pages 698-733, October.
    18. Stereńczak, Szymon & Zaremba, Adam & Umar, Zaghum, 2020. "Is there an illiquidity premium in frontier markets?," Emerging Markets Review, Elsevier, vol. 42(C).
    19. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
    20. Miralles-Quiros, Maria del Mar & Miralles-Quiros, Jose Luis & Gonçalves, Luis Miguel, 2017. "Análise do efeito tamanho na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 57(4), August.

    More about this item

    Keywords

    Value Stocks; Growth Stocks; Portfolio; Bursa Malaysia;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ1:2023-04-17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.