1) Which of the following factors are employed as factors in Fama French Three Factor model as additional factors to the single index model?

I. Excess return of small stocks over large stocks

II. Excess return of high book-to-market stocks over low book-to-market stocks

III. Excess return of long-term government bonds over T-bills

IV. Momentum factor

Answer choices:

a) I and IV

b) I only

c) None of these factors is employed

d) I, II, III, and IV

e) I and II