Value Versus Growth: The International Evidence

Keywords

Value (mathematics), Economics, Mathematics, Statistics

References

• The Cross-Section of Stock Returns: Evidence from Emerging MarketsSusmita Dasgupta, Jack Glen — 1999
• A Century of Global Stock MarketsWilliam Goetzmann, Philippe Jorion — 1997
• An Empirical Investigation of International Asset PricingRobert A. Korajczyk, Claude J. Viallet — 1989
• The structure of international stock returns and the integration of capital marketsSteven L. Heston, K. Geert Rouwenhorst, Roberto E. Wessels — 1995
• Common risk factors in the returns on stocks and bondsEugene F. Fama, Kenneth R. French — 1993
• Multifactor Portfolio Efficiency and Multifactor Asset PricingEugene F. Fama — 1996
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976
• Session Topic: Capital Asset Pricing Models in an International Context: THE INTERNATIONAL PRICING OF RISK: AN EMPIRICAL INVESTIGATION OF THE WORLD CAPITAL MARKET STRUCTUREM.S. Adler, Bruno Solnik — 1974
• The New Finance: The Case Against Efficient MarketsRobert A. Haugen — 1995
• CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*William F. Sharpe — 1964
• Beta and ReturnFischer Black — 1993
• International Portfolio Choice and Corporation Finance: A SynthesisM.S. Adler, Bernard Dumas — 1983
• The World Price of Covariance RiskCampbell R. Harvey — 1991
• Assessing goodness-of-fit of asset pricing models: The distribution of the maximal R2F. Douglas Foster, Tom Smith, Robert E. Whaley — 1997
• Multifactor Explanations of Asset Pricing AnomaliesEugene F. Fama, Kenneth R. French — 1996
• The relationship between return and market value of common stocksRolf W. Banz — 1981
• The Cross-Section of Realized Stock Returns: The Pre- Compustat EvidenceJ. L. Davis — 1994
• AN INTERTEMPORAL CAPITAL ASSET PRICING MODELRobert C. Merton — 1973
• International Value and Growth Stock ReturnsCarlo Capaul, Ian Rowley, William F. Sharpe — 1993
• Contrarian Investment, Extrapolation, and RiskJosef Lakonishok, Robert W. Vishny, Andrei Shleifer — 1994

Cited by

• VALUE INVESTING: EVIDENCE FROM THE DUTCH STOCK MARKETF.E.J. Knopers — 2014
• Liquidity levels and the long-run performance of initial public offerings in South AfricaSangeet Thaivalappil Chandran — 2012
• External Financing and Cross-Sectional Returns: A Global AnalysisAkiko Watanabe — 2010
• Los factores tamaño, book-to-market y momentum en el mercado de capitales español: explicaciones racionales y efecto en la formación del precioBegoña Font-Belaire, Alfredo Juan Grau-Grau — 2007
• The U.S. Dollar Safety PremiumMatteo Maggiori — 2013
• International stock market liquidityChristof W. Stahel — 2004
• Size, value, and momentum in Polish equity returns: Local or international factors?Adam Zaremba — 2017
• Can Extension of fundamental Models Cancel the Existence of Abnormal Returns in Emerging MarketNizar Hachicha, Amina Amirat, Abdelfettah Bouri — 2008
• THE MOMENTUM EFFECT IN THE CHILEAN STOCK MARKETNicolás Guadalupe Zúñiga Espinoza, Tomás Espinoza — 2014
• Foreign Exchange Exposure and Pricing in the Australian Equities Market: A Fama and French FrameworkAmalia Di Iorio, Robert W. Faff — 2002
• Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock ExchangePatryk Basiewicz — 2011
• A Three-Moment International Asset-Pricing Model: Theory and EvidenceVihang R. Errunza, Oumar Sy — 2005
• Market misvaluation and earnings management. Evidence from Italian financial marketElisa Raoli — 2012
• Assembling International Equity Datasets -- Review of Studies on the Cross-Section of Common StocksAntonina Waszczuk — 2014
• EFICIÊNCIA DA MAGIC FORMULA DE VALUE INVESTING NO MERCADO BRASILEIROR. Zeidler — 2014
• Long-Run Stock Price and Operating Performance Following Private Debt PlacementsSheng-Syan Chen, Miaw-Jane Chen — 2005
• Determinants of insurance companies' stock return in GCC countriesHamdan Ahmed Ali Al-Shami — 2013
• The effectiveness of the Piotroski screen for value stock selection on the JSEVan der Merwe, Joachim Christoffel — 2013
• Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry PortfoliosSascha Mergner — 2008
• Macromomentum: Evidence of Predictability in International Equity MarketsSanjeev Bhojraj, Bhaskaran Swaminathan — 2001

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