A) In class we showed that Fama French model cannot account for returns for portfolios constructed on the basis of prior year firm performance. This is the MOMENTUM effect. Why cant Fama and French include MOMENTUM factor in their asset pricing model? More generally what is wrong with including a factor for which you cannot find economic model?

b) In class we discussed a couple of economic models for SMB and HML could you describe those here? (one for SMB and one for HML)