An Investigation of the Value Premium in the UK Stock Market 1988-2002 : Some New Evidence

The value premium in the UK stock market for the period 1988-2002 is investigated using a new, survivorship-bias-free, look-ahead-bias-free database, SFD Capital UK Fully Listed. A series of classification and regression tests are carried out, following a similar methodology to Lakonishok, Shleifer amp; Vishny, 1994. The main findings are (1) an economically significant value premium exists, although smaller than that reported in previous UK studies, (2) value is less risky than growth, using the standard risk measures beta and standard deviation, and (3) a powerful small firm effect persists in the UK market during 1988 to 2002