In their recent paper, Fama and French (2020) tried to answer the question, if the value factor premium that the two authors discovered in 1992 themselves, did decline or stopped to exist altogether after its discovery due to efficient markets.
They came to the conclusion, not to reject the hypothesis that expected market premiums are the same [over long time periods]. In other words, there is some evidence that the discussed premium is lower (or even tended to disappear) but the significance is too low for rejecting the hypothesis, there is not (enough) proof! But it might be reasonable to expect lower excess return from the value factor in the future compared to the period of their original dataset (1963-1992), due to market efficiency. After investors got knowledge of the value anomaly they started to arbitrage it away…
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