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
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