easy · Principles of Finance risk-return-portfolio
In the context of the Fama-French Three-Factor Model, what does the 'HML' factor represent?
- The return spread between portfolios of small-capitalization stocks and large-capitalization stocks.
- The excess return earned by the market portfolio above the prevailing risk-free rate.
- The impact of price momentum on stock returns measured over the trailing twelve months.
- The return differential between high book-to-market (value) and low book-to-market (growth) stocks.
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