Value versus growth in the UK stock market, 1955-2000

Dimson, E, Nagel, S and Quigley, G (2002) Value versus growth in the UK stock market, 1955-2000. Working Paper. London Business School IFA Working Paper.

Abstract

We perform a historical analysis of value versus growth in the UK stock market. Our analysis employs a new data set of balance sheets for all listed UK firms back to 1953. It enables us to look at value effects across the whole population of stocks listed on the London Stock Exchange from 19552000. Our data set is free of survivorship bias and covers more than thousand firms already at the start of the sample period. This is the first nonU.S. study of the value effect that uses a data set that is comparable, with respect to survivorship issues even better, than the benchmark U.S. CRSP1/COMPUSTAT database. While there have been studies of the value effect outside of the US, for example Capaul, Rowley, and Sharpe (1993) and Fama and French (1998), these studies have used data sets with relatively short time frame and limited to large cap stocks. In contrast, our data allows us to examine the value effect in the UK also within the smallcap universe and over a long time period.