The value premium is driven by 7 percent of the stock market. The 93 percent of
market capitalization held most by institutional investors is value premium
free. In contrast, in stocks held most by individual investors, the value
premium, even when the stocks are value weighted, reaches a staggering 185 bps
per month. In addition, the value premium is a long-side anomaly. It is a value
premium puzzle, not a growth discount puzzle.