The US equity market premium surged 19.8% last year via daily data. By contrast, the size and value premia lost 7.9% and 7.2% ...

In finance, HML, or High Minus Low, is a term that represents one of the factors in the Fama-French Three-Factor Model, a widely recognized asset pricing model. HML is specifically designed to ...

Highlights,The model predicts portfolio returns using market exposure and two additional risk factors.,SMB and HML factors explain tendencies in returns based on market capitalization and ...

High-Minus-Low (HML) is excess returns of value stock over growth stocks ... All the necessary ingredients to calculate the required rate of return using the Fama-French three-factor model are ready.

SMB stands for "Small [market capitalization] Minus Big" and HML for "High [book-to-market ratio] Minus Low"; they measure the historic excess returns of small caps over big caps and of value stocks ...

In the Fama-French model, SMB is combined with other factors, such as the market risk factor and the value factor (HML, or High Minus Low), to create a more comprehensive framework for ...