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1、Firstdraft:May2010Thisdraft:February2012§Size,Value,andMomentuminInternationalStockReturnsa,*bEugeneF.FamaandKennethR.FrenchaBoothSchoolofBusiness,UniversityofChicago,Chicago,IL60637bTuckSchoolofBusiness,DartmouthCollege,Hanover,NH03755,USAAbstractInthefourregions(NorthAmerica,Europe,Japan,andAsiaPa
2、cific)weexamine,therearevaluepremiumsinaveragestockreturnsthat,exceptforJapan,decreasewithsize.ExceptforJapan,thereisreturnmomentumeverywhere,andspreadsinaveragemomentumreturnsalsodecreasefromsmallertobiggerstocks.Wetestwhetherempiricalassetpricingmodelscapturethevalueandmomentumpatternsininternatio
3、nalaveragereturnsandwhetherassetpricingseemstobeintegratedacrossthefourregions.Integratedpricingacrossregionsdoesnotgetstrongsupportinourtests.Forthreeregions(NorthAmerica,Europe,andJapan),localmodelsthatuselocalexplanatoryreturnsprovidepassabledescriptionsoflocalaveragereturnsforportfoliosformedons
4、izeandvalueversusgrowth.Evenlocalmodelsarelesssuccessfulintestsonportfoliosformedonsizeandmomentum.JELclassification:G12Keywords:Valuepremium;Momentum;Three-factormodel;Four-factormodel§FamaandFrencharealsoconsultantstoDimensionalFundAdvisors.WethankStanleyBlackandTuNguyenofDimensionalFundAdvisorsfo
5、rpainstakingworkinassemblingandcleaningthedataforthispaper.ThepaperhasprofitedfromthecommentsofJohnGriffin,AndrewKarolyi,JonLewellen,andtworeferees.*Correspondingauthor.E-mailaddress:eugene.fama@chicagobooth.edu.1.IntroductionBanz(1981)findsthatstockswithlowermarketcapitalization(smallstocks)tendtoh
6、avehigheraveragereturns.Thereisalsoevidencethatvaluestocks,thatis,stockswithhighratiosofafundamentallikebookvalueorcashflowtoprice,havehigheraveragereturnsthangrowthstocks,whichhavelowratiosoffundamentalstoprice(DeBondtandThaler,1985;FamaandFrench,1992;Lakonishok,Shleifer,andVishny,1994).Jegadeeshan
7、dTitman(1993)showthatU.S.stockreturnsalsoexhibitmomentum:stocksthathavedonewelloverthepastyeartendtocontinuetodowell.Thevaluepremium(higheraveragereturnsofvaluestocksrelativetogrowthstocks)andmomentum
