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- Title
Do Investors Capture the Value Premium?
- Abstract
Do investors realize higher returns by investing in value stocks instead of growth stocks? Examination of a sample of equity indexes, mutual funds, and large-cap stocks reveals no evidence that value firms have earned higher returns than growth firms. The value premium reported in the literature is historically strongest for small-capitalization firms, yet average annual returns for small-cap equity funds are N. 10% for value funds compared to 14.52% for growth funds. Despite dramatic increases in mutual fund expense ratios from 1965 to 2001, fee differences across style funds cannot explain the absence of a value premium.
- Subjects
INVESTORS; RATE of return; GROWTH stocks; EQUITY (Law); MUTUAL funds; STOCKS (Finance); INVESTMENT products; BUSINESS enterprises
- Publication
Financial Management (Wiley-Blackwell), 2006, Vol 35, Issue 2, p5
- ISSN
0046-3892
- Publication type
Article
- DOI
10.1111/j.1755-053X.2006.tb00139.x