Question: Historically, the value premium has been positive but between 2005 and 2012, the average annual premium on value stocks was -2.12%. Which trait of the

Historically, the value premium has been positive but between 2005 and 2012, the average annual premium on value stocks was -2.12%. Which trait of the value factor is most likely represented by this underperformance?

a) Cyclicality of the value factor over certain time horizons

b) Value factor is negatively correlated to the market factor

c) Value factor does not exist any more

d) Negative correlation of the value factor with size factor

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