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.

中文翻译：

---

价值溢价

摘要

价值溢价（我们定义为价值投资组合收益超过市场投资组合收益）在1963年7月至2019年6月的下半年平均要低得多。但是，每月保费的高波动性使我们无法拒绝以下假设：样本的两半都期望保费相同。预测市值与市值之比超过市场（BM-BMM）的价值溢价的回归产生了更可靠的证据，表明预期价值溢价下降了一半，但前提是我们假设回归系数在样本期内是恒定的。收到：2020年1月21日; 社论决定：2020年7月21日；编辑：杰弗里·庞蒂夫（Jeffrey Pontiff）。