Is the Value Premium Dead? Forecasting Value–Growth Cycles with the Implied Value Premium
提出隐含价值溢价（IVP）指标，即价值股与成长股隐含资本成本之差，用于预测事后价值溢价的时变。1977-2023年数据表明IVP是最强预测因子，且能预测投资溢价，支持投资CAPM；同时IVP对季度盈余公告前后累计异常收益差异的预测能力暗示错误定价也起作用。总体而言，近期价值股表现不佳反映的是周期性波动而非永久性转变。
Abstract We introduce the implied value premium ( IVP ), the difference between the implied costs of capital of value and growth stocks, to predict time variation in the ex post value premium. During 1977–2023, IVP is the strongest predictor of the ex post value premium. It also predicts the investment premium, consistent with the Investment CAPM. However, IVP ’s ability to predict the difference in cumulative abnormal returns around quarterly earnings announcements of value and growth stocks suggests that mispricing may also play a role. Overall, our results suggest that recent value underperformance reflects cyclical variation rather than a permanent shift.