Lux Investing - If academic research demonstrates that value stocks have higher returns than growth stocks why not invest all?

If academic research demonstrates that value stocks have higher returns than growth stocks why not invest all?

in value stocks?

Because that will get you fired periodically. Lots and lots of value managers have severely underperformed (and, as a result, lost a lot of client business) during the Internet boom. It is not uncommon for value strategies to produce a disaster every now and then. Charles Munger, Warren Buffett's sidekick, had done very well over the long haul (he ran his own firm between 1962 and 1975), but still produced 30-percent losses two years in a row (1973 and 1974)...
It's not that easy. Some people will categorize a stock as "growth" and others "value". It's very common for a stock to move out of the "value" range (meaning you think it's undervalued) and into the "growth" category just because it has a good quarter and the price moves up.