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The Performance of Value and Growth Stocks in Recessions and Booms and the Combination with Momentum

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The Performance of Value and Growth Stocks in Recessions and Booms and the Combination with Momentum http://lib.ulg.ac.be http://matheo.ulg.ac.be The performance of value and growth stocks in recessions and booms and the combination with momentum Auteur : Reuter, Gregory Promoteur(s) : Lambert, Marie Faculté : HEC-Ecole de gestion de l'ULg Diplôme : Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management Année académique : 2016-2017 URI/URL : http://hdl.handle.net/2268.2/3659 Avertissement à l'attention des usagers : Tous les documents placés en accès ouvert sur le site le site MatheO sont protégés par le droit d'auteur. Conformément aux principes énoncés par la "Budapest Open Access Initiative"(BOAI, 2002), l'utilisateur du site peut lire, télécharger, copier, transmettre, imprimer, chercher ou faire un lien vers le texte intégral de ces documents, les disséquer pour les indexer, s'en servir de données pour un logiciel, ou s'en servir à toute autre fin légale (ou prévue par la réglementation relative au droit d'auteur). Toute utilisation du document à des fins commerciales est strictement interdite. Par ailleurs, l'utilisateur s'engage à respecter les droits moraux de l'auteur, principalement le droit à l'intégrité de l'oeuvre et le droit de paternité et ce dans toute utilisation que l'utilisateur entreprend. Ainsi, à titre d'exemple, lorsqu'il reproduira un document par extrait ou dans son intégralité, l'utilisateur citera de manière complète les sources telles que mentionnées ci-dessus. Toute utilisation non explicitement autorisée ci-avant (telle que par exemple, la modification du document ou son résumé) nécessite l'autorisation préalable et expresse des auteurs ou de leurs ayants droit. THE PERFORMANCE OF VALUE AND GROWTH STOCKS IN RECESSIONS AND BOOMS AND THE COMBINATION WITH MOMENTUM Jury : Dissertation by Promoter : Gregory REUTER Marie LAMBERT For a Master’s Degree in Management Readers : Sciences with a specialization in Lionel ARTIGE Banking and Asset Management Nicolas MORENO Academic year 2016/2017 Acknowledgements First of all, I would like to thank all the professors that taught me during these years as well as their assistants. A special thanks goes to Marie Lambert who accepted to be my promoter. She always kept her patience and she was of good advice. I would also like to thank my two readers, Lionel Artige and Nicolas Moreno, for their availability and their advice when I needed it. The biggest thank you goes to my wonderful family, beginning with my parents. They never stopped supporting me even when giving up was an option. My brother and my sister also played an important role as they were always there when I needed them. I couldn’t finish these acknowledgments without thanking my friends. Special thanks go to Charline, Cyrielle, Vincent S. and O., Gilles, Valentine, Caro, Lise and most of all, to Marina. This one is for you as it wouldn’t have been possible without you. 2 Table of contents 1. Introduction ................................................................................................................................................. 1 2. Asset valuation, efficient market hypothesis and the CAPM .................................................. 3 2.1. Asset valuation techniques ........................................................................................................................... 3 2.1.1. Absolute valuation models: discounted cash flow techniques ............................................. 3 2.1.2. Valuation by multiples ........................................................................................................................... 4 2.1.3. Combination of both DCF and multiples analysis ...................................................................... 5 2.2. Expected rates of returns of stocks: The CAPM ................................................................................... 6 2.3. Efficient Markets Hypothesis (EMH) ........................................................................................................ 8 1.1.1. Introduction to EMH ............................................................................................................................... 8 2.3.4. EMH and asset valuation? .................................................................................................................. 10 2.3.5. Arguments against EMH: market anomalies ............................................................................. 10 3. Value, growth and momentum .......................................................................................................... 13 3.1. Value and growth stocks ............................................................................................................................ 13 3.1.1. Value stocks ............................................................................................................................................. 13 3.1.2. Growth stocks ......................................................................................................................................... 14 3.1.3. Style investing ......................................................................................................................................... 14 3.2. Value premium ............................................................................................................................................... 15 3.2.1. Definition and existence ..................................................................................................................... 15 3.2.2. Explaining the value premium ........................................................................................................ 17 3.2.3. Fama French three factor model .................................................................................................... 18 3.2.4. Drivers and size of the value premium ........................................................................................ 19 3.2.5. Value and growth stocks performance during booms and downturns ......................... 20 3.3. Momentum ....................................................................................................................................................... 22 3.4. The benefits of combining momentum with value or growth ................................................... 24 4. Case study: Mutual Funds Performance during and after the global crisis ................... 27 4.1. Introduction ..................................................................................................................................................... 27 4.2. Data ...................................................................................................................................................................... 28 4.2.1. Mutual Funds Selection and information .................................................................................... 28 4.2.2. Four-factor model data ....................................................................................................................... 29 4.2.3. Macroeconomic indicators ................................................................................................................ 30 4.3. Methodology .................................................................................................................................................... 30 1.1.1. Funds classification .............................................................................................................................. 30 4.3.4. Performance measurements ............................................................................................................ 32 4.3.5. Panel regressions .................................................................................................................................. 33 4.4. Discussion of the results ............................................................................................................................. 35 4.4.1. Value, growth and blend funds performance ............................................................................ 35 4.4.2. Value and growth with momentum .............................................................................................. 36 4.4.3. Alphas ......................................................................................................................................................... 37 4.4.4. Sharpe ratios ........................................................................................................................................... 38 4.4.5. Information ratios ................................................................................................................................. 39 4.4.6. Panel regressions .................................................................................................................................. 39 4.5. Limitations of the methodology .............................................................................................................. 41 5. Ethics and durability .............................................................................................................................. 43 6. Conclusion .................................................................................................................................................. 45 7. References and appendices ...................................................................................................................... 1. Introduction Investors have
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