Abstract

http://ssrn.com/abstract=929701
 
 

References (19)



 
 

Citations (12)



 


 



Do Investors Capture the Value Premium?


Tim Loughran


University of Notre Dame

Todd Houge


University of Iowa


Financial Management, Vol. 35, No. 2, Summer 2006

Abstract:     
Do investors realize higher returns by investing in value stocks instead of growth stocks? Examination of a sample of equity indexes, mutual funds, and large-cap stocks reveals no evidence that value firms have earned higher returns than growth firms. The value premium reported in the literature is historically strongest for small-capitalization firms, yet average annual returns for small-cap equity funds are 14.10% for value funds compared to 14.52% for growth funds. Despite dramatic increases in mutual fund expense ratios from 1965 to 2001, fee differences across style funds cannot explain the absence of a value premium.

Number of Pages in PDF File: 16

Accepted Paper Series


Date posted: September 17, 2006  

Suggested Citation

Loughran, Tim and Houge, Todd, Do Investors Capture the Value Premium?. Financial Management, Vol. 35, No. 2, Summer 2006. Available at SSRN: http://ssrn.com/abstract=929701

Contact Information

Tim Loughran
University of Notre Dame ( email )
Department of Finance
245 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-8432 (Phone)
574-631-5255 (Fax)
Todd Houge (Contact Author)
University of Iowa ( email )
Henry B. Tippie College of Business
Department of Finance, S288 PBB
Iowa City, IA 52242-1994
United States
319-335-3754 (Phone)
319-335-3690 (Fax)
HOME PAGE: http://www.biz.uiowa.edu/faculty/thouge
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References:  19
Citations:  12

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