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Abstract
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
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