According to the Fama-French Three-Factor Model, which type of stock would have a higher expected return: a small-capitalization value stock or a large-capitalization glamour stock? How can one of these types of stocks have a higher expected return and yet the Efficient Market Hypothesis still holds?

Attempt: Not enough information is given. We would need information about the Beta values to determine which would have higher expected returns.

One of these stocks could have a higher expected return and not violate the Efficient Markets Hypothesis if the higher expected returns are due to compensation for risk.