I found a post of mine, a "Nedsaid greatest hit", that addresses your question.
Here is a link to the article that I refer to below:
Dbr, I did read the efficient frontier article on the "riskiness" of value stocks compared to their growth brethren. However the math in the article did not bear this out. According to the article, Fama and French settled on a "sick company" theory that explained that value stocks really were riskier. But there is no proof offered that Value stocks really are riskier. The math says otherwise. Pretty much what they said was, "Return is higher but if return is higher then the risk has GOT TO BE higher." The article offered no mathematical proof but only a narrative.
From the period 7/63-3/99 Small Value had 17.47% annualized return and a 18.63% standard deviation versus Small Growth had a 10.18% annualized return and 23.04% standard deviation. Large Value had 15.16% annual return and a 14.86% standard deviation versus 11.75% and 16.35% standard deviation for Large Growth. Ye Gads, that looks like more return with less risk indeed. The free lunch or at least a pretty darned good snack.
So yes I believe Value stocks to be less risky than Growth stocks. The reason why is not rocket science. It is a matter of how much expectation is built into the stock. Stocks with less expectations built into their price have better odds of beating earnings estimates than the popular growth stocks priced to perfection.
I will wrap up my argument with this example of GE Commercial Paper. What could be safer than AAA short term paper issued by the bluest of blue chip companies? When the financial crisis hit in 2008 and the credit markets dried up, there were no buyers for GE paper!! If Warren Buffett hadn't stepped in, GE could possibly have defaulted on one of the safest investments imaginable. So a "safe' asset turned "dangerous" almost on a dime. All because of unique circumstances that no one could have foreseen. Everyone "knew" that GE paper was safe but when the time of crisis hit there were no buyers.
Fama and French's argument that "everyone knows" that value stocks are riskier than growth stocks and base their argument on narrative rather than math is not convincing to me. I am not really much of a quant. But I need to see better evidence than a "sick company" narrative.
Below is a response from Larry Swedroe where he addresses the risk versus behavior argument. He elaborates on the "bad company" theory.
Well, this isn't black or white one
I think it's very clear that value stocks are riskier, but the premium is too big
Value stocks tend to have some common traits which are intuitively risky---higher SD of earnings, dividends and more leveraged. Hard to argue such companies are safer. They also importantly have BAD BETA risk. They tend to do worse in bad times, when bad returns are most risky because of risks to labor capital. Value companies tend to have less capital options and thus more at risk in financial crisis. Assets that do poorly in bad times should carry big risk premiums. So IMO very difficult to buy the story there isn't risk there. But I do think premium too big for the extra risk. So my own personal conclusion is it's not free lunch but it is free stop at dessert tray.
A fool and his money are good for business.