With regard to market anomalies, which of the following statements are correct?

I Fama-French incorporate the small-firm and P/E effect into their three-factor pricing model

II Value firms (high B/M) tend to have higher returns than growth (low B/M) firms

III The momentum effect is a violation of weak-form efficiency

IV According to the small-firm effect, large firms outperform small firms.

Select one:

a.

I, II and III

b.

II, III and IV

c.

II and III

d.

I and IV

e.

III only