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A Renewal of the Value Factor in Equities

Nov 12th, 2020 | Filed under: CAPM / Alpha Theory, Newly Added, Finance & Economics

David Blitz, the head of quant research at Robeco, and Robeco researcher Matthias Hanauer have posted a commentary on the value factor. This is one of the classic Fama-French factors. It began life in 1992 as a simple “high minus low” (HML) calculation; the postulation that stocks with high book-to-marketRead More