Do Investors Capture the Value Premium?
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.
Year of publication: |
2006
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Authors: | Houge, Todd ; Loughran, Tim |
Published in: |
Financial Management. - Financial Management Association - FMA. - Vol. 35.2006, 2
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Publisher: |
Financial Management Association - FMA |
Saved in:
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