At low frequencies, we document that size and value premia exhibit strong positive co-movement, but are both negatively related to the equity premium. These patterns are explained in an investment-based asset pricing model featuring persistent micro and macro uncertainty. Micro uncertainty generates size and value premia waves, while macroeconomic uncertainty produces equity premium waves. The negative relation between micro and macro uncertainty at low frequencies accounts for the negative relation of the market with size and value premia. The higher sensitivity of size-sorted portfolios to micro uncertainty can explain the observed instability of the size strategy.