Is the Value Premium Dead?

7:30 I say that Fama and French found that over a 23-year period there was a 23% chance of value under-performing. I should have said that over a *3-year period* there was a 23% chance of value under-performing.

A value stock has a low price relative to some fundamental metric like book value or earnings. The value premium is the excess return that value stocks are expected to earn over the market. This excess return has historically been, and is expected to continue to be, positive. In other words, value stocks have higher expected returns than the market.

Referenced in this video:
- Volatility Lessons https://poseidon01.ssrn.com/delivery.php?ID=134094121066112087075072085088107120021087025040030006018105081106124081029070105023027001056044123040017070001072012124019093102008032018048095101099103120007069029066042024018095102083114109121005108083070092064095112124085026115116031107096097122&EXT=pdf
- The Value Premium https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3525096
- Identifying Expectation Errors in Value/Glamour Strategies https://poseidon01.ssrn.com/delivery.php?ID=378070074070098110124101067088126076009075022081036087078089004067078002091125065007021011006001039100019102099007107095112094116049039081035027107115093068086106025069011095094070088126007104066098126070011081006004066029002072072081114108125112081072&EXT=pdf
- Risk and Return of Value Stocks https://papers.ssrn.com/sol3/papers.cfm?abstract_id=112553
- The Cross-Section of Expected Stock Returns https://www.ivey.uwo.ca/cmsmedia/3775518/the_cross-section_of_expected_stock_returns.pdf
- It’s Time for a Venial Value-Timing Sin https://www.aqr.com/Insights/Perspectives/Its-Time-for-a-Venial-Value-Timing-Sin
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Видео Is the Value Premium Dead? канала Ben Felix