In this paper, we investigate the value versus growth strategies from the perspective of stochastic dominance. Using half century US data on value and growth stocks, we find strong evidence that value stocks stochastically dominate growth stocks in all three-order of stochastic dominance...

In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the...