The Devil in HML’s Details

By Cliff Asness, Andrea Frazzini. Journal of Portfolio Management, 2013

124 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/c02af43ae4fe60112be4ac6671accb0f2be2cb06

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Ronen Israel
2. Clifford S. Asness
3. Lasse Heje Pedersen
4. Tobias J. Moskowitz
5. Andrea Frazzini
6. Jay Shanken
7. Francisco Barillas
8. Robert Novy-Marx

In Finance

1. Lasse Heje Pedersen
2. Tobias J. Moskowitz
3. Clifford S. Asness
4. Andrea Frazzini
5. Ronen Israel
6. Robert Novy-Marx
7. Francisco Barillas
8. Jay Shanken

Citations in the corpus

• Comparing Asset Pricing Models (2017, methodology): “Finally, we also include the size ME, investment IA and profitability ROE factors in Hou, Xue and Zhang (2015a, 2015b), as well as the value factor HMLm from Asness and Frazzini (2013).”
• Comparing Cross-Section and Time-Series Factor Models (2019, unknown): “Asness and Frazzini (2013) argue that if BM is updated monthly using current prices, it is likely more informative about expected returns.”
• Who Are the Value and Growth Investors (2017, unknown): “Some recent work also shows that the strength of the value premium can be improved by refining the sorting methodology (Asness and Frazzini 2013, Barras 2013, Hou, Karolyi, and Kho 2011).”
• Size matters, if you control your junk (2018, background): “Global portfolio construction closely follows Fama and French (2012) , Asness and Frazzini (2012) , and Asness et al. (2013) .”