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Abstract This paper provides further evidence on the value premium using Canadian data from 1985–2005 and a search process involving both price to earnings (P/E) and price to book value (P/BV) ratios. The study documents a consistently strong value premium over the sample period, which persisted in both bull and bear markets, as well as in recessions and recoveries. Moreover, the paper shows that a P/E based search process did a better job of identifying value stocks and arriving at more consistent and sizeable value premium than did a search process based on P/BVs. Copyright © 2009 ASAC. Published by John Wiley & Sons, Ltd.
George Athanassakos (Mon,) studied this question.