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1、FirstDraft,February1996ThisDraft,August1997NotforQuotation:CommentsSolicitedVALUEVERSUSGROWTH:THEINTERNATIONALEVIDENCEEugeneF.FamaandKennethR.French*AbstractValuestockshavehigherreturnsthangrowthstocksinmarketsaroundtheworld.For1975-95,thedifferencebetweentheaveragereturnsonglobalportfolios
2、ofhighandlowbook-to-marketstocksis7.60%peryear,andvaluestocksoutperformgrowthstocksin12of13majormarkets.AninternationalCAPMcannotexplainthevaluepremium,butatwo-factormodelthatincludesariskfactorforrelativedistresscapturesthevaluepremiumininternationalreturns.*GraduateSchoolofBusiness,Univer
3、sityofChicago,1101East58thStreet,Chicago,IL60637(Fama)andYaleSchoolofManagement,Box208200,NewHaven,CT06520(French).ThepaperreflectsthehelpfulcommentsofDavidBooth,EdGeorge,RexSinquefield,RenéStulz,JaniceWillett,andthreereferees.TheinternationaldataforthisstudywerepurchasedforusbyDimensionalF
4、undAdvisors.Investmentmanagersclassifyfirmsthathavehighratiosofbook-to-marketequity(B/M),earningstoprice(E/P),orcashflowtoprice(C/P)asvaluestocks.FamaandFrench(1992,1996)andLakonishok,Shleifer,andVishny(1994)showthatforU.S.stocks,thereisastrongvaluepremiuminaveragereturns.HighB/M,E/P,orC/Ps
5、tockshavehigheraveragereturnsthanlowB/M,E/P,orC/Pstocks.FamaandFrench(1995)andLakonishok,Shleifer,andVishny(1994)alsoshowthatthevaluepremiumisassociatedwithrelativedistress.HighB/M,E/P,andC/Pfirmstendtohavepersistentlylowearnings;lowB/M,E/P,andC/Pstockstendtobestrong(growth)firmswithpersist
6、entlyhighearnings.Lakonishok,Shleifer,andVishny(1994)andHaugen(1995)arguethatthevaluepremiuminaveragereturnsarisesbecausethemarketundervaluesdistressedstocksandovervaluesgrowthstocks.Whenthesepricingerrorsarecorrected,distressed(value)stockshavehighreturnsandgrowthstockshavelowreturns.Famaa
7、ndFrench(1993,1995,1996),ontheotherhand,arguethatthevaluepremiumiscompensationforriskmissedbythecapitalassetpricingmodel(CAPM)ofSharpe(1964)andLintner(1965).Thisconclusionisbasedonevidencethatthereiscommonvariationintheearningsofdistressedfirmsthatisnote
