A behavioral explanation of the value anomaly based on time-varying return reversals

► We investigate the dynamics of the value anomaly to identify the driving forces of the anomaly. ► We find that the value anomaly is prominent only during short, specific time periods. ► The dynamics of the value anomaly reflect the increased speed of return reversals subsequent to overreaction. ► The speed of return reversals increases when investors respond to public signals asymmetrically or when public signals become noisy.