Journal article
Do Investors Capture the Value Premium?
Financial management, Vol.35(2), pp.5-19
07/01/2006
DOI: 10.1111/j.1755-053X.2006.tb00139.x
Abstract
Do investors realize higher returns by investing in value stocks instead of growth stocks? Examination of a sample of equity indexes, mutual funds, and large-cap stocks reveals no evidence that value firms have earned higher returns than growth firms. The value premium reported in the literature is historically strongest for small-capitalization firms, yet average annual returns for small-cap equity funds are 14.10% for value funds compared to 14.52% for growth funds. Despite dramatic increases in mutual fund expense ratios from 1965 to 2001, fee differences across style funds cannot explain the absence of a value premium.
Details
- Title: Subtitle
- Do Investors Capture the Value Premium?
- Creators
- Todd HougeTim Loughran
- Resource Type
- Journal article
- Publication Details
- Financial management, Vol.35(2), pp.5-19
- Publisher
- Financial Management Association International
- DOI
- 10.1111/j.1755-053X.2006.tb00139.x
- ISSN
- 0046-3892
- eISSN
- 1755-053X
- Language
- English
- Date published
- 07/01/2006
- Academic Unit
- Finance
- Record Identifier
- 9984380426002771
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