Using data from the stock markets of Japan, the UK and the US, this paper examines the time series properties of a price index derived from a zero net investment strategy of buying value stocks and short selling growth stocks. We use the results of this analysis to consider implications for the validity of competing hypotheses on the source of the value premium. Overall, the results from this study indicate that the US value premium displays different characteristics to the value premiums for the UK and Japan. This has farreaching implications for financial modelling and for the success, or otherwise, of investment strategies based on the existence of a value premium.
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