the anatomy of value and growth stocks capital gain return and dividend yield in the tehran stock exchange

Authors

مهدی میاوقی

استادیار و عضو هیئت علمی دانشگاه پیام نور، گروه حسابداری فرخ دهدار

کارشناس ارشد حسابداری

abstract

this study examines the empirical validity of claims that value stocks (stocks with high ratios of book value to price) have higher average returns than growth stocks (stocks with low book-to-market ratios). the analyses are performed using data pertaining to 70 firms for the period 1381-1389 and used the panel data methodology. this paper contains significant and consistent results. the results of testing hypotheses for each of the nine years and the pooled sample show that price-to-book ratio and size are positively related to stock return. the results demonstrated that on average, growth stocks have higher total return than value stocks, and growth stocks (especially big growth stocks) also have higher average rates of capital gain. the results also demonstrated that the average returns growth portfolios tend to fall in the years after portfolio formation. conversely, average returns value portfolios tend to rise in the years after portfolio formation, as some value stocks restructure, their profitability improves.

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تحقیقات مالی

جلد ۱۳، شماره ۳۱، صفحات ۱۲۱-۱۴۶

Keywords

this study examines the empirical validity of claims that value stocks (stocks with high ratios of book value to price) have higher average returns than growth stocks (stocks with low book to market ratios). the analyses are performed using data pertaining to 70 firms for the period 1381 1389 and used the panel data methodology. this paper contains significant and consistent results. the results of testing hypotheses for each of the nine years and the pooled sample show that price to book ratio and size are positively related to stock return. the results demonstrated that on average growth stocks have higher total return than value stocks and growth stocks (especially big growth stocks) also have higher average rates of capital gain. the results also demonstrated that the average returns growth portfolios tend to fall in the years after portfolio formation. conversely average returns value portfolios tend to rise in the years after portfolio formation as some value stocks restructure their profitability improves.

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