1. Market anomalies refer to certain stock/firm characteristics that have predictive power for the cross-sectional stock returns and such predictability cannot be explained by the risk factors.

c). Briefly explain what the momentum and reversal anomalies are? When constructing stock return momentum, why do we usually exclude the most recent month (month t-1)?

d). Why do Fama and French consider the value effect as compensation for risk?

Ref:

1. Fama, Eugene F and Kenneth R French. 1992. "The cross-section of expected stock returns." Journal of Finance 47 (2): 427-465. (FF 1992)
2. Fama, Eugene F and Kenneth R French. 1993. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33 (1): 3-56. (FF 1993)
3. Fama, Eugene F and Kenneth R French. 1996. "Multifactor explanations of asset pricing anomalies." Journal of Finance 51 (1): 55-84. (FF 1996)