TY - JOUR T1 - Getting More Value out of the Value Factor JF - The Journal of Investing SP - 8 LP - 16 DO - 10.3905/joi.2015.24.4.008 VL - 24 IS - 4 AU - Haim A. Mozes AU - John Launny Steffens Y1 - 2015/11/30 UR - https://pm-research.com/content/24/4/8.abstract N2 - This article provides a model for predicting whether value stocks will outperform growth stocks and whether value stocks’ outperformance will be positively or negatively correlated with equity markets. The model’s intuition is that value stocks tend to perform best when 1) markets are performing well, 2) analysts are optimistic about long-term earnings growth, 3) volatility is low, and 4) markets are relatively expensive. The authors also find that the relationship between value stocks’ outperformance and equity market returns is more positive when analysts are less optimistic about long-term earnings growth. Investors may be able to improve their factor returns and reduce their portfolio volatility by dynamically calibrating their value stock factor exposures.TOPICS: Security analysis and valuation, analysis of individual factors/risk premia, performance measurement ER -