TY - JOUR T1 - Value Premium Across Countries JF - The Journal of Portfolio Management SP - 75 LP - 86 DO - 10.3905/jpm.2012.38.4.075 VL - 38 IS - 4 AU - Daehwan Kim Y1 - 2012/07/31 UR - https://pm-research.com/content/38/4/75.abstract N2 - 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 ER -