PT  - JOURNAL ARTICLE
AU  - Daehwan Kim
TI  - Value Premium Across Countries
AID  - 10.3905/jpm.2012.38.4.075
DP  - 2012 Jul 31
TA  - The Journal of Portfolio Management
PG  - 75--86
VI  - 38
IP  - 4
4099  - https://pm-research.com/content/38/4/75.short
4100  - https://pm-research.com/content/38/4/75.full
AB  - The value premium varies substantially across countries. Kim explores whether the inter-country cross-sectional variation in the value premium can be predicted by the variables known to predict the intra-country time-variation in the value premium. After examining data from 23 developed markets and 13 emerging markets between 2000 and 2010, he found that the earnings-yield spread and the return dispersion have predictive power in emerging markets but not in developed markets. The earnings-growth spread was found to have no significant predictive power.TOPICS: Exchanges/markets/clearinghouses, big data/machine learning, statistical methods