Fama and French Revisited: Value versus Growth in an International Setting

University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Abstract: This Thesis is a replication and prolonging of the paper Value versus Growth: The International Evidence written by Kenneth French and Eugene Fama in 1992. This paper aims to provide further evidence on the value premium, meaning value stocks outperform growth stocks, using a more recent time period and more Nordic countries than used in the 1992 paper. Furthermore, the study aims to determine whether or not the results are affected by the cyclicality of markets. The results document a consistently solid value premium in the timeframe of 1975-2019, explicitly during times of market turmoil. Our conclusions state that it remains relevant to choose value strategies since they, on average, still outperform the market as well as growth strategies. During volatile times, the value strategies are still clearly the better alternative.

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