The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like t tests or regressions difficult to implement or misleading. The authors hypothesize that the Great Moderation—a period of generally lower variability in economic growth and inflation—has not been great for the value premium. To demonstrate this, the authors use a variety of nonparametric techniques and panel analysis to show that the value premium was generally challenged by the Great Moderation. This is consistent with the idea that as a risk premium, if risk is lower, the premium should also be lower.

在过去十年中，通过Fama和French数据库的“高减低”回报衡量的价值溢价为负数，或与零之间在统计上无法区分。价值溢价是高度可变的并且不是正态分布的，这使得传统的统计检验（例如t检验或回归）难以实施或产生误导。作者假设，“大温和”时期（经济增长和通货膨胀率总体上较低的时期）对于价值溢价而言并不理想。为了证明这一点，作者使用了各种非参数技术和面板分析来表明，价格溢价通常受到“大温和”的挑战。这与以下想法是一致的：作为风险溢价，如果风险较低，则溢价也应较低。