Phalippou, Ludovic (2008) Where is the Value Premium? Financial Analysts Journal, 64 (2). pp. 41-48.
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.
|Keywords:||Portfolio management; Equity strategies; Asset allocation; Equity investments; Fundamental analysis and valuation models|
|Centre:||Faculty of Finance|
|Date Deposited:||01 Aug 2012 13:43|
|Last Modified:||23 Oct 2015 14:07|
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