The Fama-French 3-factor model says that:
A. Controlling for beta with respect to the v...
Business, 14.04.2020 20:11 tajajohn7597
The Fama-French 3-factor model says that:
A. Controlling for beta with respect to the value (HML) and size (SMB) factors, stocks have no alpha.
B. Controlling for beta with respect to the market portfolio, value (HML) and size (SMB) factors, stocks have no alpha.
C. Value stocks have higher return than growth stocks and small stocks have higher returns than big stocks.
D. If we exclude value and growth stocks, as well as the smallest and largest stocks, the CAPM performs well.
Answers: 3
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