Critical Evaluation of Stock Price Changes of Value Stock and Growth Stock in India During 2005-2025: Evidence from the Indian Equity Market (2005–2025)

Abstract

A detailed comparative financial and statistical analysis of the growth stocks and value stocks has been done with the data of 60 Indian equity securities (30 growth stocks and 30 value stocks) selected from the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) of India. The study period is from January 2005 to December 2025 with a total of 255 monthly data points for each stock. Multiple financial performance metrics are used in the analysis, such as: Average monthly return, Annualised return, Standard deviation, Sharpe ratio, Value at Risk ( VaR ) at the 95% and 99% levels of the confidence interval, Regression analysis, Pearson correlation coefficients. The key findings are that growth stocks have outperformed value stocks on all of the primary measures: growth stocks have a higher average monthly return of 1.398% compared to 1.003% for value stocks, a higher annualised return of 18.35% versus 12.84%, and a higher Sharpe ratio of 0.4635 compared to 0.3316 for value stocks. Interestingly, growth stocks also have a lower volatility (SD: 10.662% vs 10.961%) and lower downside risk (VaR 95%: -12.926% vs -13.674%). The differences are significant at 1% level of significance (t = 3.1753, p = 0.0024). The study also reveals the average return-volatility relationship is statistically insignificant, and weak in all conditions for growth stocks as well as value stocks, which suggests that the volatility of the stocks does not necessarily correspond to its proportionately larger returns in Indian equity markets. The regression analysis shows that volume of trading is not a significant determinant of price dynamics in both groups (average R² is around 0.09), indicating that macroeconomic fundamentals play a more important role in the pricing of equities than technical signals based on volume, while in value stocks, the average Multiple R is slightly higher, suggesting that institutional and volume-driven trading in state-owned enterprises may be more influential. Further, the heavy weighting of value stocks in the high risk category is counter to the traditional view of value investing as being less risky, as a large number of value stocks are in cyclical and commodity like industries like metals, oil & gas, PSU banks etc. Consumer, Auto and Cement emerge as the best-performing sectors in growth stocks, and Consumer, FMCG and Cement are the best-performing sectors in value stocks from the sector analysis. The results of this research have many implications to the retail investors, institutional investors and portfolio managers and the academic researchers who do the research on Indian capital markets. .