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( ii ) Which one of the following combinations will tend to produce the highest rate of return according to the Fama - French three

(ii) Which one of the following combinations will tend to produce the highest rate of return according to the Fama-French three-factor model? Assume beta is constant in all cases.
(A) large market capitalization and high book-to-market ratio
(B) large market capitalization and low book-to-market ratio
(C) small market capitalization and high book-to-market ratio
(D) small market capitalization and a book-to-market ratio of 1

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