Wallmeier, Martin; Tauscher, Kathrin - Faculté des sciences économiques et sociales - … - 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
