p********0
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? | p********0
发帖数: 186 | 2 So basically if you hold a High Book Market Portfolio (large cap and small
cap according to the marketValue), you are not getting the HML premium, you
get smaller premium than the HML. | t***r
发帖数: 121 | 3 好多回声。。。
you
【在 p********0 的大作中提到】
: So basically if you hold a High Book Market Portfolio (large cap and small
: cap according to the marketValue), you are not getting the HML premium, you
: get smaller premium than the HML.
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