Building S&P 500 Value and Growth Groups for Crisis Analysis

Summary

The document outlines a basic workflow for studying whether investors favor value or growth stocks during crises. It suggests obtaining constituent stock prices from market data sources, using an established equity research classification to separate value from growth, and defining crisis periods with recession dates. An alternative is to classify stocks with a price-to-earnings cutoff, treating higher multiples as growth and lower multiples as value.

The answers mention both freely available and subscription data sources, including academic access to a commercial database, but provide no direct download instructions, sample, or analysis of investor behavior. A P/E split is a simple proxy rather than a comprehensive style definition, and the document does not discuss how to account for changing index membership, sector composition, or other factors that could affect comparisons. The proposed approach is therefore a starting point for constructing groups and periods, not evidence that one style performs better in crises.

Key ideas

• Stock price histories for S&P 500 constituents can be assembled from market data providers or collected datasets.
• Value and growth classifications can come from research providers or be constructed with valuation measures.
• A simple classification treats lower P/E stocks as value and higher P/E stocks as growth.
• US recession dates can serve as one definition of crisis periods, though the document offers no performance results.

Tags

# s&p500 companies value vs growth


# s&p500 companies value vs growth












I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I split the companies into value or growth stocks so as to show how investors react in crises? if they tend to prefer value stocks vs growth stocks. Thanks in advance Jay

## Answer by zglin (score 2)

https://quant.stackexchange.com/a/27980

If you're looking for S&P 500 stock prices, yahoo finance is usually a good source. If you're looking for all of them together datasets are available on github.

If you're looking to split between value vs growth you can use any general equity research firm to create the split between growth and value, otherwise use a broad definition from a site like AXA.

Finally you will want to identify crisis periods, using something like NBER to identify US recessions.

## Answer by milkmotel (score 2)

https://quant.stackexchange.com/a/27981

Multiple stock databases hold this data, but none of them are free. If you are in an academic setting, see if your university has a subscription to CRSP.

If you want to split it yourself, you can use different cutoff points for P/E. High P/E = growth, low P/E = value.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.