Fama and French claim that after controlling for firm size and the ratio of firm's book value to market value,beta is ______________.
I.highly significant in predicting future stock returns
II.relatively useless in predicting future stock returns
III.a good predictor of firm's specific risk
A) I only
B) II only
C) I and III only
D) I, II and III

Question

Quizplus · Accepted Answer

According to Fama and French, after controlling for firm size and book-to-market ratio, beta is relatively useless in predicting future stock returns. There is no mention of beta being a good predictor of firm-specific risk, so option III is also incorrect.

Fama and French Claim That After Controlling for Firm Size