In order to answer the research questions, the starting point is the construction of the six Fama-French Portfolios, which range from small value stocks to large growth stocks. These portfolios also serve as a basis for the calculation of the returns of the factor-mimicking portfolios SMB and HML.


Market Capitalisation Risk Premia Excess Return Sharpe Ratio Growth Stock 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Gabler | GWV Fachverlage GmbH 2010

Authors and Affiliations

  • Patrick Scheurle

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