Many previous studies document a robust premium for value versus growth stocks in international markets. We show that this premium is driven by few years where High Minus Low (HML) returns are high and significant. For instance, for 12 European markets the HML return is statistically...

The paper employs government bond portfolios from 17 countries so as to investigate the short-run reaction of investors to price shocks. The findings indicate a uniform return reversal pattern across countries, that persists irrespective of various robustness tests such as different data-sets...

Many previous studies document a robust premium for value vs. growth stocks in international markets. We show that this premium is driven by few years where HML returns are high and significant. For instance, for twelve European markets the HML return is statistically significant, on average,...