Value Premium Across Countries

Posted: 16 Feb 2012

Date Written: November 21, 2011

Abstract

Value premium varies substantially across countries. We explore whether the inter-country cross-sectional variation in value premium can be predicted by those variables known to predict the intra-country time-variation in value premium. After examining data from 23 developed markets and 13 emerging markets between 2000 and 2010, we 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 not to have significant predictive power.

Keywords: Inter-country variation in value premium, earnings-yield spread, return dispersion, earnings-growth spread

JEL Classification: G10, G11, G12

Suggested Citation

Kim, Daehwan, Value Premium Across Countries (November 21, 2011). Available at SSRN: https://ssrn.com/abstract=2005674 or http://dx.doi.org/10.2139/ssrn.2005674

Daehwan Kim (Contact Author)

Konkuk University ( email )

1 Hwayang-dong
Kwangjin-gu
Seoul, 143-701
Korea

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