Where Is the Value Premium?

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 2008 Netherlands English Publisher:CFA InstituteJournal:CFA Digest, volume 38, pages 94-95 (issn: 0046-9777, eissn: 1938-3320,

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Authors: Phalippou, L.;

doi: 10.2469/dig.v38.n3.40 , 10.2469/faj.v64.n2.10

handle: 11245/1.298253

Where Is the Value Premium?

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Abstract

The value premium is driven by 7 percent of the stock market. The 93 percent of market capitalization held most by institutional investors is value premium free. In contrast, in stocks held most by individual investors, the value premium, even when the stocks are value weighted, reaches a staggering 185 bps per month. In addition, the value premium is a long-side anomaly. It is a value premium puzzle, not a growth discount puzzle.

Country

Netherlands

Related Organizations

University of Amsterdam
Netherlands

Keywords

330

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