Value
Is the value premium dead?
Not dead — but a lot smaller and less dependable than the textbooks say. Buying cheap stocks and shorting expensive ones was one of the most reliable patterns in finance from the 1920s through the mid-2000s. Then it lost money for most of the stretch between 2007 and 2020, which is when the “value is dead” question started getting asked in earnest.
What a from-scratch replication shows
Rebuilding the book-to-market value premium from the Ken French data and splitting the record at the point the effect became widely known: the premium survives, but it decays by well over half from its in-sample strength, and its full-sample t-statistic sits close to the honest significance threshold rather than comfortably above it. Several other value definitions — earnings-to-price, cash-flow-to-price — tell a similar or weaker story.
Much of the historically large premium also came from periods and corners of the market that are hard to actually trade: pre-1963 data, and the smallest, least liquid stocks. A value-weighted version using large, liquid names is milder.
The honest read
A real premium, roughly half its advertised size, that can underperform for a decade at a stretch and clears a proper multiple-testing correction only marginally. If you tilt toward value, do it knowing the tracking error is large and the payoff is neither guaranteed nor quick.
See the full record
The Anomaly Replication Lab has the complete history of every value definition — in-sample vs post-publication, decay, the factor-model alpha, and whether it survives a multiple-testing correction.
Open the value premium →Common questions
So does value investing still work?
The premium is still positive on the full sample and it rebounded after 2020, but it's roughly half its textbook size once you split the record at the point value became widely known, and it clears an honest multiple-testing bar only marginally. 'Weaker and less reliable than advertised' is closer than 'dead'.
Why did value do so badly for over a decade?
A few reasons argued in the literature: growth and tech dominated that stretch; low interest rates favoured long-duration growth stocks; intangibles (which value metrics based on book value miss) became a bigger share of company worth; and once a premium is well documented, money flows in and compresses it.
Does it matter which value measure you use?
Yes. Book-to-market, earnings-to-price and cash-flow-to-price give noticeably different results, and the original papers often used two-way sorts or equal weighting that lean on small illiquid stocks. This site replicates several value definitions with value-weighted deciles so you can compare.
Educational replication, not advice. Figures reflect this site’s value-weighted decile methodology and move as the data updates.