期刊名称：The International Journal of Applied Economics and Finance
印刷版ISSN：1991-0886
电子版ISSN：2077-2149
出版年度：2012
卷号：6
期号：1
页码：17-28
DOI：10.3923/ijaef.2012.17.28
出版社：Asian Network for Scientific Information
摘要：This study uses Sortino ratio optimization approach to examine the risk-adjusted performance, returns and downside risks of growth and value stocks in Asian countries. Best, worst and equally-weighted country-level portfolios are constructed from the indices of the selected developed and emerging Asian countries. This study also uses price delay measures incorporated with rolling window method to scrutinize the market efficiency of growth and value stocks. The overall findings from sample period of 2 July 1997 to 28 September 2011 disclosed that the value stocks consistently outperformed the growth stocks in terms risk-adjusted performance, returns and downside risks. The results from rolling price delay measures revealed that the value stocks are relatively inefficient in comparison to growth stocks. Hence, the findings provide additional evidence in supporting the existence of value premium is attributable to the market inefficiency.
