Does the Value Premium Decline with Investor Interest in Value?
Journal of Behavioral Finance, Forthcoming
Posted: 13 Nov 2019 Last revised: 14 Jan 2020
Date Written: October 24, 2019
I approximate the interest that value investing attracts through the frequency with which terms such as “book to market ratio” appear in the corpus of books scanned by Google. Following the years in which investor interest in value is relatively high, the realized value premium is found to be below average. On the other hand, there is no evidence that secular trends in interest have an impact on the value premium. The results therefore do not support the hypothesis that the value effect disappears once investors have become aware of it.
Keywords: value premium; investor interest; n-grams
JEL Classification: G12, G4
Suggested Citation: Suggested Citation