Question 9 The results of much empirical testing of CAPM eventually led Fama & French to develop their famous 3-factor model. Their model includes which of the following risk factors? I. The excess return to a portfolio of shares with a high B/M (book-to- market) characteristic, relative to shares with a low B/M characteristic. II. The excess return of the market portfolio over the risk-free rate III. Recent momentum in the share price IV. The excess return to a portfolio of small companies relative to large companies A. I&IV B. I, II & IV C. AII of I-IV D