In a landmark study, Fama and French (1992) show that the ratio of book equity to market equity (B/M ratio) has greater explanatory power for the cross section of stock returns than does the CAPM beta. PART A Briefly discuss the results from the study. PART B What is the relationship between book-to-market and average monthly returns? PART C What is the relationship between firm size (that is, market equity) and average monthly returns? PART D Which cell in a two-way sort of stocks on size and B/M ratio provides the highest average monthly return? PART E What type of problems might an investor expect to face in attempting to purchase stocks in the highest return cell?