Jan 23, 2012
In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums?

EFF/KRF: The volatility of month-by-month size and value premiums is similar to that of the equity premium, and it takes similarly long periods of time to be reasonably confident of achieving positive premiums. One is more confident the longer the period, but no matter how long the period, positive premiums are never a sure thing.

Eugene F. Fama
The Robert R. McCormick Distinguished Service Professor of Finance at the University of Chicago Booth School of Business
Kenneth R. French
The Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College
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Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to Dimensional Fund Advisors LP.