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Capturing the Value Premium in the United KingdomElroy DimsonLondon Business School; University of Cambridge - Judge Business School Stefan NagelStanford Graduate School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research Garrett QuigleyDimensional Fund Advisors Ltd Financial Analysts Journal, Vol. 59, No. 6, pp. 35-45, November/December 2003 Abstract: Using a new data set of accounting information merged with share price data, we found a strong value premiumin in the United Kingdom for the period 1955-2001. It existed among small-capitalization and large-capitalization stocks. But small-cap stock managers who wish to capture the higher expected returns face some challenges. We show that rebalancing-induced portfolio turnover for indexed small-cap value strategies can be substantial. Coupled with the relative illiquidity of the U.K. market for small-cap value stocks, such high turnover calls for strategies that sacrifice tracking accuracy in favor of reducing trading needs and lowering trading costs.
Keywords: Portfolio Management, equity strategies JEL Classification: G12, G14, M41 Accepted Paper SeriesDate posted: January 25, 2004 ; Last revised: October 7, 2011Suggested CitationContact Information
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