IDEAS home Printed from
   My bibliography  Save this article

Two Kinds of Value Premiums


  • Daehwan Kim


We examined the return co-movement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies examined in this study. The returns of strategies within a group move together, while the returns of strategies belonging to different groups do not. In addition, the two groups have very different exposures to conventional equity risk factors. We interpret one of the two groups as being related to forward bias, and the other as being related to contrarian profits. To illustrate the usefulness of this grouping, we considered two applications. In the first application, an effective way to achieve value diversification requires selecting value strategies from both groups. In the second application, an effective value timing method requires excluding one group from the analysis.

Suggested Citation

  • Daehwan Kim, 2012. "Two Kinds of Value Premiums," International Economic Journal, Taylor & Francis Journals, vol. 26(2), pages 281-299, April.
  • Handle: RePEc:taf:intecj:v:26:y:2012:i:2:p:281-299
    DOI: 10.1080/10168737.2012.688521

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, June.
    2. Woochan Kim & Taeyoon Sung & Shang-Jin Wei, 2008. "How Does Corporate Governance Risk at Home Affect Investment Choices Abroad?," NBER Working Papers 13721, National Bureau of Economic Research, Inc.
    3. repec:dau:papers:123456789/7743 is not listed on IDEAS
    4. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:intecj:v:26:y:2012:i:2:p:281-299. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.