16 Pages Posted: 17 Sep 2006
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.
Suggested Citation: Suggested Citation
Loughran, Tim and Houge, Todd, Do Investors Capture the Value Premium?. Financial Management, Vol. 35, No. 2, Summer 2006. Available at SSRN: https://ssrn.com/abstract=929701
This is a Financial Management Association paper. Financial Management Association charges $15.00 .
File name: SSRN-id929701.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.