The disappointing performance of value and small cap strategies shows that style consistency may not provide the long-term benefits often assumed in the literature. In this study we examine whether the short-term variation in the U.S. size and value premium is predictable. We document...

The disappointing performance of value and small cap strategies shows that style consistency may not provide the long-term benefits often assumed in the literature. In this study it is examined whether the short-term variation in the US size and value premium is predictable. Style-timing...