| Author: | Fama, E. F. French, K. R. |
| Title: | Value versus growth: The international evidence. |
| Journal: | Journal of Finance
1998 : DEC, VOL. 53:6, p. 1839-1885 |
| Index terms: | Stock markets Portfolio investment Investment analysis |
| Language: | eng |
| Abstract: | The authors note that value stocks have higher returns than growth stocks in markets around the world. In the period 1975-1995, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7,68 percent per year, and value stocks outperform growth stocks in twelve of thirteen major markets. An international capital asset pricing model cannot explain the value premium, but a two-factor model that includes a risk factor for relative distress captures the value premium in international returns. |
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