Value Factor is HML ( high pb minus low pb).
High p/b is growth stock.
Low p/b is value stock.
If value factor (HML) is positive, this portfolio is growth tilt.
Please correct me, if I’m wrong.
Thank you!
In the value factor HML-
High is high book to market- value stock
Low is low book to market- growth stock
So the premium is for the value stock (positive)
The portfolio is value tilt if the HML factor is positive.
Hope it helps.
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C-book says,
Value factor is average of 2 high P/B portfolio - average of 2 low P/B portfolio.
Which one is correct?
Book to market or P/B ratio?