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What is Value Premium in Small-Cap Stocks about?

The study investigated whether a value premium existed for stocks in the Russell 2000 small-cap index from 1979-1997. Value stocks outperformed growth stocks based on P/E, P/S, and M/B ratios, with returns 5.28-8.40% higher annually. Combining valuation measures to identify value boosted returns and risk characteristics. Most of the value premium occurred outside of January and was available for reasonably liquid stocks, suggesting a substantial exploitable premium for small-cap value investing.

Author

1527351362

Language

EN