Resurrecting the Value Premium

23 Pages Posted: 5 Oct 2020

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Matthias X. Hanauer

Technische Universität München (TUM); Robeco Quantitative Investments

Date Written: September 30, 2020


The prolonged poor performance of the value factor has led to doubts about whether the value premium still exists. Some have noted that the observed returns still fall within statistical confidence intervals, but such arguments do not restore full confidence in the value premium. This paper adds to the literature by showing that the academic value factor, HML, has not only suffered setbacks in recent years but has, in fact, been weak for decades already. However, we show that the value premium can be resurrected using insights that are well documented in the literature or common knowledge among practitioners. In particular, we include more powerful value metrics, apply some basic risk management, and make more effective use of the breadth of the liquid universe of stocks. Although our enhanced value strategy also suffers in recent years, it has a solid long term track record that does not warrant existential concerns. We conclude that a healthy value premium is still clearly present in the cross-section of stock returns.

Keywords: Value Premium, Value Investing, Value Factor, HML, Factor Investing, Factor Premia, Smart Beta, Asset Pricing, Market Efficiency, Crowding, Data Mining

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David and Hanauer, Matthias Xaver, Resurrecting the Value Premium (September 30, 2020). Available at SSRN: or

David Blitz

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA

Matthias Xaver Hanauer (Contact Author)

Technische Universität München (TUM) ( email )

Arcisstr. 21
Munich, D-80290


Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA


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