In the late 1970s, less favourable evidence for the CAPM began to appear in the so-called anomalies literature. Which of the following is/are true for the anomalies?

I. Contrary to the prediction of the CAPM, the firm characteristics provide explanatory power for the cross section of sample mean returns beyond the beta of the CAPM

II. Early anomalies included the price-earnings-ratio effect and the size effect

III. Fama and French (1992, 1993) find that beta cannot explain the difference in return between portfolios formed on the basis of the ratio of book value of equity to market value of equity

IV. Firms with high book-market ratios have higher average returns than is predicted by the CAPM

Select one:

a. I, IV

b. II, III

c. None o

d. II, III, IV

e. I, II, III, IV