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Are international value premiums driven by the same set of fundamentals?

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  • Black, Angela J.
  • Fraser, Patricia
  • McMillan, David G.

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  • Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
  • Handle: RePEc:eee:reveco:v:16:y:2007:i:1:p:113-129
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    18. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
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    20. Liew, Jimmy & Vassalou, Maria, 2000. "Can book-to-market, size and momentum be risk factors that predict economic growth?," Journal of Financial Economics, Elsevier, vol. 57(2), pages 221-245, August.
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    24. Lu Zhang, 2005. "The Value Premium," Journal of Finance, American Finance Association, vol. 60(1), pages 67-103, February.
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    Cited by:

    1. Kaia Kask, 2003. "The influence of investors’ behaviour and organisational culture on value investing," University of Tartu - Faculty of Economics and Business Administration, in: Maaja Vadi (ed.), Organisational Culture in Estonia : Manifestations and Consequences, edition 1, volume 16, chapter 13, pages 237-255, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    2. Chikashi Tsuji, 2016. "Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 81-92, August.
    3. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    4. Mohammed M Elgammal & David G McMillan, 2014. "Value premium and default risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 48-61, February.

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