Value Versus Growth: The International Evidence
Eugene F. Fama
University of Chicago - Booth School of Business (Finance Authors)
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.
Number of Pages in PDF File: 30
JEL Classification: G12, G15
working papers series
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 http://dx.doi.org/10.2139/ssrn.2358
