RT Journal Article
SR Electronic
T1 “Super Growth” Stocks
JF The Journal of Investing
FD Institutional Investor Journals
SP 22
OP 28
DO 10.3905/joi.2018.27.2.022
VO 27
IS 2
A1 Wai Mun Fong
YR 2018
UL https://pm-research.com/content/27/2/22.abstract
AB Growth stocks have poor average returns and low Sharpe ratios compared to value stocks. The author shows that a portfolio that combines stocks with high profitability and less extreme book-to-market ratios exhibit a negative high-minus-low loading similar to growth stocks but have superior performance across multiple dimensions. The construction of this “super growth” portfolio is motivated by the clean surplus accounting model of stock pricing and the robust empirical fact that stocks with high gross profitability are “good” growth stocks.TOPICS: Security analysis and valuation, portfolio construction, performance measurement