Of course, when Fama and French proposed their three-factor model, the hunch was that the SMB and HML factors would consistently deliver value over time just as the RMW has. That hasn’t panned out.

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

The Fama and French model has three factors: the size of firms, book-to-market values, and excess return on the market. In other words, the three factors used are small minus big (SMB), high minus ...

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 large.

HML becomes redundant when profitability and investment factors are included in their 5-factor model. Fama and French (2015) is a pretty extensive study with a handful of robustness tests.

In essence, the Fama-French factors are designed to provide a deeper understanding of the key drivers of stock returns. ... HML (Value): -0.01 again, very little tilt towards value stocks.

Each year I teach my “seminar in investments” course at Drexel, which consists of the Masters in Finance students and a handful of geeky MBA students. The first few weeks of the course involve an ...