The paper examines the value premium in international stock markets, focusing on the period from 1975 to 1995. The authors find that value stocks, defined as high book-to-market (B/M), earnings-to-price (E/P), or cash flow-to-price (C/P) stocks, outperform growth stocks in twelve of thirteen major markets. The value premium is significant, with an average difference of 7.68% per year between high and low value portfolios. An international capital asset pricing model (CAPM) fails to explain this premium, but a two-factor model that includes a risk factor for relative distress captures the value premium. The study also finds that the value premium is pervasive across different countries and that it is not an arbitrage opportunity. Additionally, the paper tests for a size effect in emerging markets, confirming that small stocks tend to have higher returns than large stocks. Overall, the evidence supports the existence of a global value premium and suggests that it is driven by relative distress rather than other factors.The paper examines the value premium in international stock markets, focusing on the period from 1975 to 1995. The authors find that value stocks, defined as high book-to-market (B/M), earnings-to-price (E/P), or cash flow-to-price (C/P) stocks, outperform growth stocks in twelve of thirteen major markets. The value premium is significant, with an average difference of 7.68% per year between high and low value portfolios. An international capital asset pricing model (CAPM) fails to explain this premium, but a two-factor model that includes a risk factor for relative distress captures the value premium. The study also finds that the value premium is pervasive across different countries and that it is not an arbitrage opportunity. Additionally, the paper tests for a size effect in emerging markets, confirming that small stocks tend to have higher returns than large stocks. Overall, the evidence supports the existence of a global value premium and suggests that it is driven by relative distress rather than other factors.