Value versus Growth: What Drives the Value Premium?
研究发现每年约一半的价值股和增长股是新增的，基于新股的溢价显著更高，主要由新增长股表现不佳驱动，且在经济收缩、货币紧缩等时期更明显。
Each year, a significant number of stocks transition from non-value stocks to value stocks and likewise from non-growth stocks to growth stocks. As a result, about half of value stocks and half of growth stocks are new. We find that the value premium based on new value and growth stocks is statistically higher than that based on old value and growth stocks, mostly driven by the underperformance of new growth stocks. In addition, we find that the large value premium for new value and growth stocks is more pronounced during contraction, the Federal Reserve monetary tightening cycle, subperiods with high long-term yields, and high economic uncertainty. Moreover, we show that the large value premium for new value and growth stocks is mainly the across-industry effect. Finally, international evidence further confirms the findings.