Where is the Value Premium?

Posted: 18 May 2008

See all articles by Ludovic Phalippou

Ludovic Phalippou

University of Oxford - Said Business School

Abstract

The value premium is driven by 7 percent of the stock market. The 93 percent of market capitalization held most by institutional investors is value premium free. In contrast, in stocks held most by individual investors, the value premium, even when the stocks are value weighted, reaches a staggering 185 bps per month. In addition, the value premium is a long-side anomaly. It is a value premium puzzle, not a growth discount puzzle.

Keywords: Portfolio Management, Equity Strategies, Asset Allocation, Equity Investments, Fundamental Analysis and Valuation Models

JEL Classification: G12, G14

Suggested Citation

Phalippou, Ludovic, Where is the Value Premium?. Financial Analysts Journal, Vol. 64, No. 2, 2008. Available at SSRN: https://ssrn.com/abstract=1134032

Ludovic Phalippou (Contact Author)

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

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