Do Invesrtors Capture the Value Premium?
检验了股票指数、共同基金和大盘股样本，发现价值型公司并未比成长型公司获得更高回报，小盘价值基金的年均回报甚至低于成长基金，费用差异也无法解释价值溢价的缺失。
Do investors realize higher returns by investing in value stocks instead of gorwth stocks? Examination of a sample of equity indexes, mutual funds, and large‐cap stocks reveals no evidence that value firms have earned higher returns than growth firms. The value premium reported in the literarture is historically strongest for small‐capitalization firms, yea average annual rerturns for small‐cap equity funds are 14.10% for value funds compared to 14.52% for growth funds. Despite dramatic increases in mutual fund expense ratios from 1965 to 2001, fee differences across style funds cannot explain the absence of a value premium.