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1、MultifactorAssetPricingAnalysisofInternationalValueInvestmentStrategiesBalaArshanapalli,T.DanielCogginandJohnDoukas*e-mail:jdoukas@odu.edu.fax:(757)683-5639February27,1997CurrentVersionFebruary6,1998Note:JournalofPortfolioManagement,Forthcoming.*DivisionofBusinessan
2、dEconomics,IndianaUniversityNorthwest,Gary,Indiana,Gerber/TaylorAssociates,Inc.,Memphis,Tennessee,andFinanceDepartment,GraduateSchoolofBusiness,OldDominionUniversity,Norfolk,Virginia,respectively.WethankDavidUmsteadandDavidSheaofIndependenceInternationalAssociates,I
3、nc.(Boston,MA),forgraciouslyprovidinguswiththeMorganStanleydatausedinthisstudy.WealsoliketothankJosefLakonishok,GeertRouwenhorst,SureshSundaresan,AnthonyRichardsandtheseminarparticipantsatUniversityofVienna,CityUniversityBusinessSchool,theUniversityofLausanneandpart
4、icipantsattheAFA1998meetingsforvaluablecomments.NeitherIndependenceInternationalAssociates,Inc.norGerber/TaylorAssociates,Inc.areresponsiblefortheresultsandconclusionsofferedinthispaper.ABSTRACTUsingalargeinternationalequitymarketdatabasethathasnotbeenpreviouslyused
5、forsuchapurpose,thispaperdocumentsthatvalue(i.e.,highbook-to-market)stocksoutperformgrowth(i.e.,lowbook-to-market)stocks,onaverage,inmostcountriesduringtheJanuary1975-December1995period,bothabsolutelyandafteradjustingforrisk.Theinternationalevidenceconfirmsthefindin
6、gsofpreviousworkreportedfortheU.S..For1975-1995,theannualdifferencebetweentheaveragereturnsonportfoliosofhighandlowbook-to-marketstocksis12.94%inNorthAmerica,10.42%inEurope,17.26%inPacific-Rimperyear,andvaluestocksoutperformgrowthstocksin17outof18nationalcapitalmark
7、ets.Ouranalysisalsoshowsthatathree-factormodelexplainsmostofthecross-sectionalvariationinaveragereturnsonindustryportfoliosacrosscountriesandthatthesuperiorperformanceofthevalueinvestingstrategy,documentedinthisstudy,isamanifestationofsizeandbook-to-marketeffects.Th
8、eseresultsareconsistentwiththosereportedbyFamaandFrench(1994,1996)thatshowthatthevalue-growthpatterninstockreturnsislargelyexplainedbyathr
