The Joint Distribution of Value and Profitability: International Evidence

17 Pages Posted: 5 Jan 2021

See all articles by Sunil Wahal

Sunil Wahal

Arizona State University (ASU) - Finance Department

Eduardo Repetto

affiliation not provided to SSRN

Date Written: November 30, 2020

Abstract

We examine the joint distribution of value and profitability in international markets. Over the 1990-2020 sample period, portfolios formed at the intersection of value and profitability generate systematic return patterns: value and high-profitability portfolios substantially outperform growth and low- profitability portfolios. The return differences are present in developed markets (ex-US), emerging markets, subsets and combinations thereof (EAFE, ACWI ex-US), as well as in large and small stocks. When viewed in combination with similar such evidence from the US, the data suggest important benefits to targeting value and profitability jointly rather than piecemeal.

Keywords: Value, Profitability, Asset Pricing, Factor Models

JEL Classification: G12, G15

Suggested Citation

Wahal, Sunil and Repetto, Eduardo, The Joint Distribution of Value and Profitability: International Evidence (November 30, 2020). Available at SSRN: https://ssrn.com/abstract=3739571 or http://dx.doi.org/10.2139/ssrn.3739571

Sunil Wahal (Contact Author)

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

Eduardo Repetto

affiliation not provided to SSRN

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