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发帖数: 186 | 1 R_{p} = \alpha + b1 * (Market-Rf) + b2 * SMB + b3* HML.
If holding a small cap stock, you will expect a premium of SMB, however if
you hold a High Book Market portfolio, you are not getting HML because HML =
1/2(LHB + SHB) - 1/2(LLB+SLB), your premium is mainly dominated by Large HB
portfolio - Large LB portoflio, you are not getting the full HML unless HML
= 0.7*(LHB- LLB) +
0.3*(SHB-SLB).
SHB stands for Small High Book Value, LHB stands for Large High Big value.
how do you guys interpret this? |
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