Which One of the Following Combinations Will Tend to Produce

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) B. large market capitalization and low book-to-market ratio
C) C. small market capitalization and high book-to-market ratio
D) D. small market capitalization and a book-to-market ratio of 1.0
E) E. small market capitalization and a low book-to-market ratio