With reference to Fama and French (1993) "Common risk factors in the returns on stocks and bonds", which one of the following statements is correct? A. In constructing the factors SMB and HML, it is adequate to adopt univariate sorts on size and book-to-market separately. One main objective of the three-factor model is to address the value premium, which is the expected return on small-cap stocks less the expected B.return on large-cap stocks. In the three-factor model, the pricing errors for most of the 25 portfolios sorted on size and book-to-market are significant both statistically and c. economically. According to the GRS-F test on the 25 portfolios sorted on size and book-to-market, one should reject the three-factor being a complete D. description of the cross section of expected returns