As for the size premium, also the value premium constructed here does not follow Fama and French

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As for the size premium, also the value premium constructed here does not follow Fama and French (1993). Implement a p-hacking setup as in Chapter 8 to find a premium that comes closest to their HML premium.

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Tidy Finance With R

ISBN: 9781032389349

1st Edition

Authors: Christoph Scheuch, Stefan Voigt, Patrick Weiss

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Question Posted: Oct 22, 2024 10:00 AM

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As for the size premium, also the value premium constructed here does not follow Fama and French

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Tidy Finance With R

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