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Résumé : ABSTRACT Shiller's CAPE, dividend yield, and the government bond yield curve slope are measures of value in equity and bond markets. We find that equity market time‐series momentum performs well in mid‐valuation regimes, but breaks down near historical valuation extremes, where the direction of the equity market commonly turns. Controlling for equity market return reversals—when valuation measures are near their 10‐ or 20‐year historical extremes—increases the R 2 of a predictive regression of equity market returns by up to 110% and the R 2 of a predictive regression of time‐series momentum returns by up to 550%.