Value versus Growth: The International Evidence
发现全球市场中价值型股票回报高于成长型股票，1975至1995年间高低账面市值比组合年均回报差7.68%，且国际资本资产定价模型无法解释该溢价，但包含相对困境风险因子的两因子模型可以。
ABSTRACT Value stocks have higher returns than growth stocks in markets around the world. For the period 1975 through 1995, the difference between the average returns on global portfolios of high and low book‐to‐market stocks is 7.68 percent per year, and value stocks outperform growth stocks in twelve of thirteen major markets. An international capital asset pricing model cannot explain the value premium, but a two‐factor model that includes a risk factor for relative distress captures the value premium in international returns.