StarCapital examines whether the long-standing value premium has structurally disappeared, questioning one of investing’s most durable anomalies. It highlights a dramatic collapse in value outperformance post-1990s, yet argues the evidence is statistically inconclusive. The paper suggests extreme recent underperformance may resemble past inflection points rather than signal a permanent regime shift.
The Presumed End Of The Value Premium
StarCapital Research
Research
8 Pages
Key Takeaways
Value Premium Collapse: Value stocks’ excess returns fell from 0.42% monthly (1963–1991) to 0.11% (1991–2019), a ~74% decline across broad portfolios.
Statistical Ambiguity Remains: Despite weaker returns, tests show a p-value of 9.8%, meaning post-1991 premiums are not statistically distinguishable from zero.
Extreme Underperformance Period: Recent value underperformance ranks in the worst 1% historically, with ~6% annual lag versus growth over the past decade.
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