High Minus Low (HML), also referred to as the value premium, is one of three factors used in the Fama-French three-factor model.

How well has Fama and French’s five-factor model explained returns over the decades? According to our analysis, only one factor has truly held up over all time periods.

The Fama and French Three-Factor model expanded the CAPM to include size risk and value risk to explain differences in diversified portfolio returns.

The Fama-French Three Factor model is a formula for calculating the rate of return on a given asset. Like many (if not most) such models, it offers an estimated value based on market factors at ...

A core aspect of the risk argument is that a portfolio’s factor “loading,” or covariance, on a specific factor (e.g., Fama and French HML value factor) represent a proxy for some unobserved ...

Fama and French (2015) is a pretty extensive study with a handful of robustness tests. However, other authors have identified that the Fama and French 5-factor model may not be as robust as originally ...

Fama is arguably the world’s most famous and influential finance professor, thanks to his revolutionary efficient market hypothesis — that stock market prices at any time incorporate all ...

Recap of Fama-French Investing can often feel like navigating through a maze, with countless strategies, theories, and tools at your disposal.