Multiple Choice
Which of the following factors was used by Fama and French in their multi-factor model?
A) Return on the market index
B) Excess return of small stocks over large stocks
C) Excess return of high book-to-market stocks over low book-to-market stocks
D) All of these factors were included in their model.
E) None of these factors were included in their model.
Correct Answer:
Verified
Correct Answer:
Verified
Q4: Imposing the no-arbitrage condition on a single-factor
Q15: _ a relationship between expected return and
Q27: The Security Characteristic Line (SCL)associated with the
Q89: In the context of the Arbitrage Pricing
Q90: Suppose you held a well-diversified portfolio with
Q92: Consider the one-factor APT.The standard deviation of
Q93: The index model for stock A has
Q94: In a factor model,the return on a
Q95: Security A has a beta of 1.0
Q99: The index model has been estimated for