Český finanční a účetní časopis 2008(2):31-41 | DOI: 10.18267/j.cfuc.267

HML and SMB Premiums in the Recent Scholar Literature - Magnitude and Nature

Tomáš Buus
Ing. Tomáš Buus, Ph.D. - odborný asistent; Katedra financí a oceňování podniku, Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3, Česká republika; <buust@vse.cz>.

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.

Keywords: HML premium; SMB premium.
JEL classification: G12

Published: June 1, 2008  Show citation

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Buus, T. (2008). HML and SMB Premiums in the Recent Scholar Literature - Magnitude and Nature. Czech Financial and Accounting Journal, 2008(2), 31-41. doi: 10.18267/j.cfuc.267
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