Which of the following statements is most likely correct about then Fama-French three factor model?

I. The model is based on the assumption that large firms are inherently riskier than small firms and hence command higher risk premium.

II. Value firms, which have high book-to-market equity ratios, are considered to be riskier firms than the growth firms with low book-to-market equity ratios.

III. The Fama-French model has performed better than the CAPM empirically, meaning it has predicted expected returns on individual assets better.

I and II

I and III

II and III

I