Which of the following are the factors for the Fama-French model?
A) The excess market return, a size factor, and a book-to-market factor.
B) The excess market return, a debt factor, and a book-to-market factor.
C) The excess market return, a size factor, and a debt.
D) A debt factor, a size factor, and a book-to-market factor.
E) The excess market return, an industrial production factor, and a book-to-market factor.

Question

Quizplus · Accepted Answer

The Fama-French model includes the excess market return as well as a size factor and a book-to-market factor. This model is used to explain stock returns, with the size factor representing the effect of small companies outperforming large ones and the book-to-market factor representing the effect of value stocks outperforming growth stocks.

Which of the Following Are the Factors for the Fama-French