The Value Premium
研究发现1963-2019年间，价值投资组合相对于市场组合的超额收益在后半段平均更低，但月度波动大，无法拒绝预期溢价不变的假设；用账面市值比预测时需假设系数恒定才能得到下降证据。
Abstract Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963–June 2019 period. But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample. Regressions that forecast value premiums with book-to-market ratios in excess of market (BM–BMM) produce more reliable evidence of second-half declines in expected value premiums, but only if we assume the regression coefficients are constant during the sample period. Received: January 21, 2020; editorial decision: July 21, 2020; Editor: Jeffrey Pontiff.