Value versus growth: The international evidence

Journal of Finance

Volumn 53, Issue 6, 1998, Pages 1975-1999

  Fama, Eugene F ^a   French, Kenneth R ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 11544342489     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00080     Document Type: Article

References (29)

1. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
2. Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8-18.
3. Capaul, Carlo, Ian Rowley, and William F. Sharpe, 1993, International value and growth stock returns, Financial Analysts Journal, January-February, 27-36.
4. Chan, Louis K. C., Yasushi Hamao, and Josef Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789.
5. Cho, D. C., C. S. Eun, and Lemma W. Senbet, 1986, International arbitrage pricing theory: An empirical investigation, Journal of Finance 41, 313-329.
6. Claessens, Stijn, Susmita Dasgupta, and Jack Glen, 1996, The cross-section of stock returns: Evidence from the emerging markets, Working paper, International Finance Corporation.
7. Davis, James, 1994, The cross-section of realized stock returns: The pre-COMPUSTAT evidence, Journal of Finance 49, 1579-1593.
8. Dumas, Bernard, and Bruno Solnik, 1995, The world price of foreign exchange risk, Journal of Finance 50, 445-479.
9. Fama, Eugene F., 1996, Multifactor portfolio efficiency and multifactor asset pricing, Journal of Financial and Quantitative Analysis 31, 441-465.
10. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
11. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
12. Fama, Eugene F., and Kenneth R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155.
13. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
14. Ferson, Wayne E, and Campbell R. Harvey, 1993, The risk and predictability of international equity returns, Review of Financial Studies 6, 527-566.
15. 2, Journal of Finance 52, 591-607.
16. Gibbons, Michael R., Stephen A. Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152.
17. Goetzmann, William N., and Philippe Jorion, 1996, A century of global stock markets, Working paper, Yale School of Management.
18. Harvey, Campbell R., 1991, The world price of covariance risk, Journal of Finance 46, 111-155.
19. Harvey, Campbell R., 1995, Predictable risk and returns in emerging markets, Review of Financial Studies 8, 773-816.
20. Haugen, Robert, 1995, The New Finance: The Case against Efficient Markets (Prentice Hall, Englewood Cliffs, N. J.).
21. Heston, Steven L., K. Geert Rouwenhorst, and Roberto E. Wessels, 1995, The structure of international stock returns and the integration of capital markets, Journal of Empirical Finance 2, 173-197.
22. Korajczyk, Robert A., and Claude J. Viallet, 1989, An empirical investigation of international asset pricing, Review of Financial Studies 2, 553-585.
23. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
24. Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
25. MacKinlay, A. Craig, 1995, Multifactor models do not explain deviations from the CAPM, Journal of Financial Economics 38, 3-28.
26. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
27. Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
28. Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-42.
29. Solnik, Bruno, 1974, The international pricing of risk: An empirical investigation of world capital structure, Journal of Finance 29, 48-54.