Is the Effect of the Risk Factors Vanishing by Time?

Overview:

A Value portfolio is a portfolio of investments with high book-to-market ratio stocks. These portfolios return higher returns than the market average, as shown by Fama & French in their 3-factor model (Fama & French 1992, 1993). The traditional explanation for this premium was that it represented risk factors, but data has shown that the...

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Is the effect of the risk factors vanishing by time?

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