This question is addressed by Jochen Lawrenz and Josef Zorn in their latest research article, which was recently published in the Journal of Empirical Finance. Their results are interesting for researchers and practitioners in the field of international asset management alike.
Lawrenz Jochen and Zorn Josef (2017): Predicting international stock returns with conditional price-to-fundamental ratios. Journal of Empirical Finance 43 (September 2017), pp. 159 - 184, doi: 10.1016/j.jempfin.2017.06.003