Ben Felix | Is the Value Premium Dead? @BenFelixCSI | Uploaded February 2020 | Updated October 2024, 5 hours ago.
7:30 I say that Fama and French found that over a 23-year period there was a 23% chance of value under-performing. I should have said that over a *3-year period* there was a 23% chance of value under-performing.

A value stock has a low price relative to some fundamental metric like book value or earnings. The value premium is the excess return that value stocks are expected to earn over the market. This excess return has historically been, and is expected to continue to be, positive. In other words, value stocks have higher expected returns than the market.

Referenced in this video:
- Volatility Lessons poseidon01.ssrn.com/delivery.php?ID=134094121066112087075072085088107120021087025040030006018105081106124081029070105023027001056044123040017070001072012124019093102008032018048095101099103120007069029066042024018095102083114109121005108083070092064095112124085026115116031107096097122&EXT=pdf
- The Value Premium papers.ssrn.com/sol3/papers.cfm?abstract_id=3525096
- Identifying Expectation Errors in Value/Glamour Strategies poseidon01.ssrn.com/delivery.php?ID=378070074070098110124101067088126076009075022081036087078089004067078002091125065007021011006001039100019102099007107095112094116049039081035027107115093068086106025069011095094070088126007104066098126070011081006004066029002072072081114108125112081072&EXT=pdf
- Risk and Return of Value Stocks papers.ssrn.com/sol3/papers.cfm?abstract_id=112553
- The Cross-Section of Expected Stock Returns ivey.uwo.ca/cmsmedia/3775518/the_cross-section_of_expected_stock_returns.pdf
- It’s Time for a Venial Value-Timing Sin aqr.com/Insights/Perspectives/Its-Time-for-a-Venial-Value-Timing-Sin
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