We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...

We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have higher liquidity betas than in best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in worst times,...