INVESTIGATING THE VALUE PREMIUM IN THE SWEDISH STOCK MARKET
nvestigating the Swedish stock market, we find value stocks to have significantly outperformed growth stocks during the period of 1993 to 2017. As value stocks are found to be riskier during bad states of the economy, the existence of the value premium can be partly attributed to time-varying risk. Value betas are anticyclical, while growth betas exhibit a procyclical pattern. Controlling for time