Question
The value effect in stock returns shows that: a)The returns on stock portfolios of firms sorted by their market-to book ratio are well explained by
The value effect in stock returns shows that:
a)The returns on stock portfolios of firms sorted by their market-to book ratio are well explained by the standard CAPM.
b)The returns on stock portfolios of firms sorted by their market-to book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have lower returns than predicted by the CAPM.
c)The returns on stock portfolios of firms sorted by their market-to book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns than predicted by the CAPM.
Please select all the portfolios that have been shown to have CAPM alpha.
a)SMB: long small stocks, short large stocks.
b)HML: long high book to value, short low book to value.
c)MOM: long recent winners, short recent losers.
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