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1、J.ofMulti.Fin.Manag.14(2004)1934ValueversusgrowthstocksinSingaporeJennYawYena,1,QianSunb,∗,YuxingYanb,2aMillenniumWisdomTrainingCenter,15EnggorStreet,#12-03RealtyCenter,Singapore079716,SingaporebDivisionofBankingandFinance,NanyangBusinessSchool,NanyangTechnologicalUniversity,Singapore639798,Si
2、ngaporeReceived18January2002;accepted19September2002AbstractThisstudyexaminesvalueandgrowthstocksinSingapore.Specifically,weexaminethevaluepremiumupto5yearsafterthevalueandgrowthportfolioformation.Wealsoexamineifgrowth(value)stocksreallyindicatehigher(lower)companyprofitsinthelateryears,whethera
3、nalystsforecastsareoverlyoptimistic/pessimistic,andifearningsandearningsgrowthexhibitmeanreversion.Ourfindingsare,first,thereisavaluepremiumforSingaporestocks,butthepremiumisconcentratedinthefirst2yearsaftertheportfolioformation.Second,value(growth)stocksdoindicatelow(high)earningsgrowthratesandl
4、ow(high)returnonequity(ROE)inthefollowingyears.Third,earningsgrowthissignificantlyoverestimatedforgrowthstocksbutitisnotunderestimatedforvaluestocks,indicatingaone-wayover-reaction.Finally,thereissomeevidenceofmeanreversionforexcessROEbutnotforexcessearningsgrowthrates.©2003ElsevierB.V.Allright
5、sreserved.JELclassification:G12Keywords:Valuepremium;Over-reaction;Meanreversion1.IntroductionStocksareoftenclassifiedintovalueandgrowthcategoriesbyinvestors.Value(growth)stocksaredefinedastheonesthathaverelativelylow(high)marketpriceinrelationtosome∗Correspondingauthor.Tel.:+65-6790-4661;fax:+65
6、-6791-3697.E-mailaddresses:yiy@post1.com(J.Y.Yen),aqsun@ntu.edu.sg(Q.Sun),ayxyan@ntu.edu.sg(Y.Yan).1Tel.:+65-6224-5180;fax:+65-6224-2902.2Tel.:+65-6790-6136;fax:+65-6791-3697.1042-444X/$seefrontmatter©2003ElsevierB.V.Allrightsreserved.doi:10.1016/S1042-444X(03)00036-720J.Y.Yenetal./J.ofMulti.F
7、in.Manag.14(2004)19–34estimationofintrinsicvalue,suchasprice-to-bookvalue(P/B),price-to-earnings(P/E),andprice-to-cashflow(P/C).Manystudieshaveconvincinglydocumentedthatvaluestocksoutperformgrowthstocks(valuepremium)intheUSandJapan.3Fama
