Presenter(s)

Michael L. Hermes

Comments

This poster reflects research conducted as part of a course project designed to give students experience in the research process.

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Description

The purpose of this study is to measure and evaluate the return performance of portfolios of growth and value stocks during the short term, highly volatile market period, 2008-2012. Several academic studies have concluded that value outperforms growth over long periods of time. To date, there are no empirical studies that evaluate growth and value strategies over short term, highly volatile market periods. In this study, I will look at the performance of growth and value portfolios for the overall period, 2008-2012, the downswing period from 12/31/2007-3/31/2009, the rebound period from 3/31/2009-12/31/2010, and the trading range period from 12/31/2010-12/31/2012. I will also divide growth and value stocks into ten portfolios, each with a gradient from aggressive growth to value trap. I use price to book to define growth and value; at the extreme a P/B ratio equal to or greater than seven will define aggressive growth and a P/B ratio less than one will define value trap. The portfolio will be rebalanced at the end of 2009, 2010, and 2011 to take into account changing price to book ratios over time.

Publication Date

4-17-2013

Project Designation

Course Project

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Business-Office of the Dean

Keywords

Stander Symposium project

Research exercise: An empirical analysis of growth and value portfolio performance in the highly volatile market period 2008-2012; a study in portfolio management

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