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On the differences in measuring SMB and HML in the UK: do they matter?

Michou, Maria; Mouselli, Sulaiman; Stark, Andrew


Maria Michou

Sulaiman Mouselli

Andrew Stark


The FamaeFrench (FF) three factor model expands the capital asset pricing model (CAPM) to include two additional factors to the market factor e SMB, employed to capture a firm size effect in returns and HML employed to capture book-to-market effects in returns. In the UK, different researchers use different ways of calculating SMB and HML in the context of empirical applications of the three factor model, or extensions of it, perhaps because they believe the differences in the construction of the SMB and HML factors to be relatively unimportant from an empirical standpoint. We investigate whether indeed factor construction methods are unimportant. Our conclusion is that they do matter.


Michou, M., Mouselli, S., & Stark, A. (2014). On the differences in measuring SMB and HML in the UK: do they matter?. British Accounting Review, 46(3), 281-294. doi:10.1016/

Journal Article Type Article
Acceptance Date Mar 21, 2014
Online Publication Date Apr 13, 2014
Publication Date Sep 30, 2014
Deposit Date Mar 11, 2019
Journal The British Accounting Review
Print ISSN 0890-8389
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 46
Issue 3
Pages 281-294
Public URL
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