RT Journal Article SR Electronic T1 Value Premium Across Countries JF The Journal of Portfolio Management FD Institutional Investor Journals SP 75 OP 86 DO 10.3905/jpm.2012.38.4.075 VO 38 IS 4 A1 Daehwan Kim YR 2012 UL https://pm-research.com/content/38/4/75.abstract 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