The Value Premium on the Danish Stock Market : 1950-2004

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The Value Premium on the Danish Stock Market : 1950-2004

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dc.contributor.author Risager, Ole en_US
dc.date.accessioned 2009-02-04T10:24:01Z
dc.date.available 2009-02-04T10:24:01Z
dc.date.issued 2008-11-18T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/6560
dc.description.abstract A number of influential studies have documented a considerable value premium for US stocks over long time periods (Fama and French (1992, 2008), Lakonishok et al. (1994)). Stocks with low price-earnings multiples, price-book values and other measures of value are reported to have given a higher mean return than stocks with high multiples and high asset growth (Cooper et al. (2008)). Outside the US, the evidence is more uncertain due to data shortages. On the basis of a unique data set that extends over more than half a century, this paper not only shows that there is a value premium in the Danish market but also that growth stocks only produce high earnings growth in the run-up to portfolio formation. Growth stocks are therefore likely to have disappointed investors. We therefore also estimate the proportion of the premium that can be explained by growth stocks’ earnings disappointment. en_US
dc.format.extent 21 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2008-01 en_US
dc.title The Value Premium on the Danish Stock Market : 1950-2004 en_US
dc.type wp en_US
dc.accessionstatus modt08nov18 nijemo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for International Økonomi og Virksomhedsledelse en_US
dc.contributor.departmentshort INT en_US
dc.contributor.departmentuk Department of International Economics and Management en_US
dc.contributor.departmentukshort IEM en_US
dc.idnumber x656557205 en_US
dc.publisher.city København en_US
dc.publisher.year 2008 en_US


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