The Value and Growth Spreads: The Recent Cases in the Japanese Stock Markets

Tsuji, Chikashi
December 2014
Business Management & Strategy (BMS);2014, Vol. 5 Issue 2, p68
Academic Journal
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.


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