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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 Series

Date posted: May 01, 1997 ; Last revised: July 27, 2000

Suggested Citation

Fama, Eugene F. and French, Kenneth R., Value Versus Growth: The International Evidence (August 1997). Available at SSRN: http://ssrn.com/abstract=2358 or doi:10.2139/ssrn.2358

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Contact Information

Eugene F. Fama (Contact Author) University of Chicago - Booth School of Business ( email ) 5807 S. Woodlawn Avenue Chicago, IL 60637 United States 773-702-7282 (Phone) 773-702-9937 (Fax)
Kenneth R. French Dartmouth College - Tuck School of Business ( email ) Hanover, NH 03755 United States
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States