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HML and SMB Premiums in the Recent Scholar Literature - Magnitude and Nature
[HML a SMB prémie v akademické literatuře - výše a podstata]

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  • Tomáš Buus

Abstract

This paper deals with the nature and height of HML and SMB premiums from the point of view of recent literature on these topics. We can say that although this theme is quite new, it attracted appropriate attention and many authors have proved statistically existence of these premiums. However the question is still about their nature, respectively whether in the case of HML it is not false causality rather than premium. Even though several authors find narrow relationship between risk and HML premium, opinions form a wide range and the discussion still goes on. We consider implied cost of capital being interesting methodological instrument for looking into nature of HML premium.

Suggested Citation

  • Tomáš Buus, 2008. "HML and SMB Premiums in the Recent Scholar Literature - Magnitude and Nature [HML a SMB prémie v akademické literatuře - výše a podstata]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2008(2), pages 31-41.
  • Handle: RePEc:prg:jnlcfu:v:2008:y:2008:i:2:id:267:p:31-41
    DOI: 10.18267/j.cfuc.267
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    References listed on IDEAS

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    1. Rob Bauer & Nadja Guenster & Rogér Otten, 2004. "Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance," Journal of Asset Management, Palgrave Macmillan, vol. 5(2), pages 91-104, August.
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    3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    4. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, vol. 68(1), pages 47-73, April.
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    6. repec:bla:jfinan:v:59:y:2004:i:2:p:831-868 is not listed on IDEAS
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    More about this item

    Keywords

    HML premium; SMB premium; HML prémie; SMB prémie;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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