Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically...

The Internet Appendix provides additional results on cash-flow durations, dividend shares, dynamic properties of buy-and-hold vs. rebalanced portfolios, additional robustness checks, and preliminary analysis on the growth premium.The paper "Do Cash Flows of Growth Stocks Really Grow Faster?" may...

Contrary to conventional wisdom, growth stocks (low book-to-market stocks) do not have substantially higher future cash-flow growth rates than value stocks, in both rebalanced and buy-and-hold portfolios. The efficiency growth, survivorship and look-back biases, and rebalancing effect help...