Multifactor asset pricing analysis of international value investment strategies

The authors document that value (high book-to-market) stocks outperform growth (low book-to- market) stocks in most countries during the January 1975-December 1995 period, both absolutely and after adjusting for risk. They also find that the correlations among international value-growth spreads are low Their analysis suggests that the Fama-French three-factor model explains most of the variation in average returns on regional industry portfolios.