Fama and French suggest a three factor model approach.Which of the following is not included in their approach? A) Excess returns to a broad market index B) Return differences between small-cap and large-cap portfolios C) Return differences between industry characteristics D) Return differences between value and growth stocks E) Both c and d

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Quizplus · Accepted Answer

Fama and French's three-factor model includes excess returns to a broad market index, return differences between small-cap and large-cap portfolios, and return differences between value and growth stocks. It does not include return differences between industry characteristics.

Fama and French Suggest a Three Factor Model Approach