Value strategy returns: do the macroeconomic risk factors matter?

Since Fama and French’s (1992) discovery, a lively debate ensued on the value strategy, mainly why such a strategy produces positive returns over time. Literature on the field is divided into two streams: the first believes that returns represent a reward for the greater systematic risk tolerated by investors, while the second attributes these returns to the irrationality of investors.To contribute to this debate, our objective is to verify whether greater/lower sensitivity to macroeconomic factors may also explain the performance of value strategy. As a single unambiguous theory that can explain the value strategy returns has never been found yet, we believe in the importance of investigating the relationships between macroeconomic factors and the returns of value portfolios to shed light on this puzzle.