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Gene Fama and Kenneth French became famous for their 3-factor models based on adding SIZE and STYLE to the market excess return R M to
Gene Fama and Kenneth French became famous for their 3-factor models based on adding SIZE and STYLE to the market excess return RM to explain the excess return of a stock Ri. Please mark the only INCORRECT statement about the Fama-French 3-Factor models
a. | evidence suggests that growth stocks outperform value stocks | |
b. | Equity returns are generally higher for small cap stocks | |
c. | the 3-Factor model can be extended to include market momentum as another factor explaining excess resturns | |
d. | Morningstar classifies stocks and funds according to their size (small, mid, large) versus stule (vlaue, core, growth) |
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