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

Question

Quizplus · Accepted Answer

The Fama-French three-factor model includes the excess market return, a size factor (which measures the performance of smaller versus larger companies), and a book-to-market factor (which measures the value vs. growth stocks). The other choices either include a non-relevant factor (such as a debt factor or industrial production factor) or do not include one of the necessary factors (such as size).

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