There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Furthermore, non-U.S. stocks whose issuing companies have characteristics similar to those that define U.S. growth and value companies also appear to produce different risk-adjusted average returns for long periods of time. This evidence, as well as the growing emphasis on global diversification in general, underscores the need for a system of accurate global equity style indices.
The important distinguishing features of this paper is:
We measure growth and value with three and four variables, respectively, not just book to price, or EPS. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiate these two styles.
We measure growth and value with eight and five variables, respectively, not just book to price. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiates these two styles. Our multidimensional approach extends the distinction between growth and value beyond the simple distinction between expensive and cheap.

1. Aswath Damodaran, Damodaran on Valuation: Security Analysis for Investment
and Corporate Finance, John Wiley & Sons, Inc., New York, NY, 1994.
2. Baruch Lev, “On the Usefulness of Earnings and Earnings Research: Lessons and
Directions from Two Decades of Empirical Research”, Journal of Accounting
Research, Vol. 27, Supplement, 1989.
3. Dennis Stattman, “Book Values and Stock Returns”, The Chicago MBA: A Journal of Selected Papers, Vol. 4, 1980.
4. Eugene F. Fama and Kenneth R. French, “Dividend Yields and Expected Stock
Returns”, Journal of Financial Economics, Vol. 22, 1988.
5. Eugene F. Fama and Kenneth R. French, “The Cross-Section of Expected Stock
Returns”, Journal of Finance, Vol. 47, No. 2, June 1992.
6. Eugene F. Fama, “Efficient Capital Markets: II”, Journal of Finance, Vol. 46,
No. 5, December 1991.
7. Eugene F. Fama, “Market Efficiency, Long-Term Returns, and Behavioral Finance”, Journal of Financial Economics, Vol. 49, 1998.
8. Fisher K. L. , “Super Stocks”, Dow Jones-Irwin, Homewood, IL, 1984.
9. Frank J. Fabozzi, “Overview of Equity Style Management”, Active Equity
Portfolio Management, Frank J. Fabozzi, editor, Frank J. Fabozzi Associates,
New Hope, PA, 1998.
10. Jeremy Siegel, “The equity premium: Stock and bond returns since 1802."
Financial Analysts Journal, 1992.
11. Jon A. Christopherson and C. Nola Williams, “Equity Style: What It Is and Why
It Matters”, The Handbook of Equity Style Management, T. Daniel Coggin, Frank
J. Fabozzi, and Robert D. Arnott, editors, Frank J. Fabozzi Associates, New
Hope, PA, 1997.
12. Jon A. Christopherson and C. Nola Williams, “Equity Style: What It Is and Why
It Matters”, The Handbook of Equity Style Management, T. Daniel Coggin, Frank
J. Fabozzi, and Robert D. Arnott, editors, Frank J. Fabozzi Associates, New
Hope, PA, 1997.
13. Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny, “Contrarian Investment, Extrapolation, and Risk”, Journal of Finance, Vol. 49, No. 5, December 1994.
14. Leonard Kaufman and Peter J. Rousseeuw, Finding Groups in Data-An
Introduction to Cluster Analysis, John Wiley & Sons, Inc., New York, NY, 1990.
15. Louis K. C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok, “Momentum
Strategies”, Journal of Finance, Vol. 51, No. 5, December 1996.
16. Michael S. Rozeff, “Dividend Yields are Equity Risk Premiums”, Journal of Portfolio Management, Vol. 11, 1984.
17. Ray Ball, “Anomalies in Relationships Between Securities’ Yields and Yield
Surrogates”, Journal of Financial Economics, Vol. 6, 1978.
18. Richard Bernstein, “Style Investing: Unique Insight Into Equity Management”, John
Wiley & Sons, Inc., New York, NY, 1995.
19. Richard Bernstein, Style Investing: Unique Insight Into Equity Management, John
Wiley & Sons, Inc., New York, NY, 1995.
20. Robert J. Shiller, “Stock Prices and Social Dynamics”, Brookings Papers on
Economic Activity, Vol. 2, 1984.
21. Sanjoy Basu, “Investment Performance of Common Stocks in Relation to Their
Price-Earnings Ratios: A Test of the Efficient Market Hypothesis”, Journal of
Finance, Vol. 32, No. 3, June 1977.
22. Sidney B. Wachtel, “Certain Observations on Seasonal Movements in Stock
Prices”, Journal of Business, Vol. 15, No. 2, April 1942.
23. William C. Barbee, Jr., Sandip Mukherji, and Gary A. Raines, “Do Sales-Price and Debt-Equity Explain Stock Returns Better than Book-Market and Firm Size?”, Financial Analysts Journal, March-April 1996.
24. William C. Barbee, Jr., Sandip Mukherji, and Gary A. Raines, “Do Sales-Price
and Debt-Equity Explain Stock Returns Better than Book-Market and Firm
Size?”, Financial Analysts Journal, March-April 1996.