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Hml beta. Capital asset pricing model capm size premium. It represents the spread in returns between companies with a high book to market value ratio value companies and companies with a low book to market value ratio. The fama french hml high minus low beta is the beta used for the valuation variable in fama and frenchs three factor model.
9 11 the quadrant richmond surrey united kingdom tw9 1bp. Therefore in theory aggressive growth and growth funds should display negative betas whereas income and growthincome should indicate positive betas income growthincome. Hml company secretary services.
High minus low hml is a value premium. Along with another factor small minus big smb hml. When looking at hml a negative beta indicates more sensitivity to low book to market stocks while a positive beta shows higher sensitivity to high book to market.
Hml company secretarial services limited. Total number of appointments 1. 9 11 the quadrant richmond surrey united kingdom tw9 1bp.
Total number of appointments 1. High minus low hml is a component of the fama french three factor model. Like the smb factor once the hml factor is determined its beta coefficient can be found by linear regression.
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