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Value Versus Growth: The International Evidence
Eugene F. Fama University of Chicago - Booth School of Business Kenneth R. French Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER) August 1997 Abstract: Value stocks have higher returns than growth stocks in markets around the world. For 1975-95, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7.60% per year, and value stocks outperform growth stocks in 12 of 13 major markets. An international CAPM 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.
JEL Classifications: G12, G15 Working Paper SeriesDate posted: May 01, 1997 ; Last revised: July 27, 2000Suggested CitationContact Information
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