The performance of value and growth portfolios in Australia: Implications for asset management

Abstract

Using three financial ratios as value and growth determinants, this study indicates that the value premium in the Australian stock market is highly significant, both statistically and economically, especially between 1991 and 2007. New evidence is also provided, which suggests that the value premium is driven by positive loadings of value portfolios and negative loadings of growth portfolios on a zero-beta factor portfolio.