Value Premium Across Countries
研究了23个发达市场和13个新兴市场2000至2010年的数据，发现盈利收益率差和收益离散度能预测新兴市场的价值溢价，但对发达市场无效。
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. <b>TOPICS:</b>Exchanges/markets/clearinghouses, big data/machine learning, statistical methods