Professors Eugene Fama and Kenneth French examined this issue in their 2012 study, “Size, Value, and Momentum in International Stock Returns,” and found that there was a value premium in large-cap stocks of 0.17 percent per month. And while it wasn’t statistically significant—the t-stat was 1.09—a 2 percent per year premium is certainly economically significant. Other studies have found similar results, at least when ranking by price-to-book (P/B) ratio.

It’s also worth noting that the average return spread among large U.S. stocks sorted on P/B ratios was 38 basis points per month from July 1926 to June 1990 (the t-stat was 2.43), but shrank to just 5 basis points per month from July 1990 to June 2013 (the t-stat was 0.26).

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