Multiple Choice
Which one of the following combinations will tend to produce the highest rate of return according to the Fama-French three-factor model? Assume beta is constant in all cases.
A) large market capitalization and high book-to-market ratio
B) large market capitalization and low book-to-market ratio
C) small market capitalization and high book-to-market ratio
D) small market capitalization and a book-to-market ratio of 1.0
E) small market capitalization and a low book-to-market ratio
Correct Answer:
Verified
Correct Answer:
Verified
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