Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence
发现，在控制市场收益与价值溢价的协方差后，股票市场存在正向风险收益权衡，支持价值股在坏时期风险更高的观点。
Abstract We uncover a positive stock market risk-return tradeoff after controlling for the covariance of market returns with the value premium. Fama and French (1996) conjecture that the value premium proxies for investment opportunities; therefore, by ignoring it, early specifications suffer from an omitted variable problem that causes a downward bias in the risk-return tradeoff estimation. We also document a positive relation between the value premium and its conditional variance, and the estimated conditional value premium is strongly countercyclical. The latter evidence supports the view that value is riskier than growth in bad times, when the price of risk is high.