Abstract
This study explores the recent performance of growth and value stocks by using the data of the Russell-Nomura Japan value and growth indices. This research is significantly important in order to judge the effectiveness of investment management and strategy in the recent Japanese equity markets. The recent full sample period under our analyses is from January 4, 2010 to March 20, 2014. Our investigations as to the value spreads, growth spreads, and value-growth spreads in Japan derive the following evidence. First, (1) in the recent Japanese stock markets, the value spreads over Tokyo Stock Price Index (TOPIX) are statistically significantly positive in all six Russell-Nomura Japan value indices. Second, (2) in the recent stock markets in Japan, the growth spreads over TOPIX are also statistically significantly positive in all six Russell-Nomura Japan growth indices. Third, (3) in our above full sample period, growth style indices generally outperform the value style indices, and in particular, after the inauguration of the new Abe cabinet in December 2012, smaller-size growth stock indices strongly outperform the same size category value indices.
Highlights
The value premia in equity markets are often discussed in the US and in other international countries; it is well-known that behavioral finance gave psychological fundamental for the value premium (e.g., De Bondt and Thaler; 1985)
Inquiring into the existing studies, there are many preceding studies focusing on the value premium; as our literature review in the later section shows, little existing study focused on the growth premium in general, and in particular, as to Japan, it is rather difficult to find the preceding studies that focused on the growth premia or growth spreads
(3) in our full sample period from January 4, 2010 to March 20, 2014, growth style indices generally outperform the value style indices, and in particular, after the new Abe cabinet was inaugurated in December 2012, smaller-size growth stock indices outperform the same size category value stock indices
Summary
The value premia in equity markets are often discussed in the US and in other international countries; it is well-known that behavioral finance gave psychological fundamental for the value premium (e.g., De Bondt and Thaler; 1985). Considering the recent Japanese stock markets, since the new Abe cabinet was inaugurated in Japan on December, 26, 2012, stock market conditions and market expectations would largely change. If this is the case, how is the state of the value and growth premia in the recent Japanese stock markets? (1) in the recent Japanese stock markets, the value spreads over Tokyo Stock Price Index (TOPIX) are statistically significantly positive in all six Russell-Nomura Japan value indices we analyze. (2) in the recent stock markets in Japan, the growth spreads over TOPIX are statistically significantly positive in all six Russell-Nomura Japan growth indices we investigate.
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