The Joint Distribution of Value and Profitability: International Evidence
17 Pages Posted: 5 Jan 2021
Date Written: November 30, 2020
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: Suggested Citation