In their new article, “Size, Value, and Momentum in International Stock Returns,” the dynamic academic duo of Eugene F. Fama (Univ. of Chicago) and Kenneth R. French (Tuck School of Business) examine international stock returns to determine the value, size, and momentum patterns among average returns for developed markets. According to the article summary by the CFA Institute, the authors’ findings indicate “no size premium in any region during the last 20-plus years.” The article abstract adds:
The authors observe higher average returns of value stocks relative to those of growth stocks in four regions (Asia Pacific, Japan, Europe, and North America). The value premiums decrease as stocks increase in market capitalization (size). Momentum is also present in every region (except Japan), and it decreases with increases in size.
The article just came out in the Journal of Financial Economics, Vol. 105, No. 3 (Sept. 2012), and should be available for purchase at the CFA Institute website (see link above). Our thanks to Michael Crain (The Financial Valuation Group)—whose own work on the size effect has generated substantial interest in the BV community—for alerting us to the new study.
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