Which one of the following statements is NOT among the empirical findings of Fama and French's (2015) five-factor model? For the 25 size-B/M portfolios, time series regressions show that most of pricing errors are statistically insignificant. But the pricing error for the micro-cap extreme growth stock portfolio is negative and statistically significant. The Fama-French three-factor model cannot explain the cross-sectional stocks returns on the 25 size-OP portfolios well. For the 25 size-B/M portfolios, the results from time series regressions suggest that low B/M (growth) portfolios also have strong negative loadings on the CMA factor, whereas high B/M (value) portfolios also have strong positive loadings on the CMA factor. These findings also suggest that low B/M firms invest aggressively while high B/M firms invest conservatively. For the 25 size-OP portfolios, time series regressions show that the estimated slopes on the RMW factor increase from high profitability stock portfolios to low profitability stock portfolios