The Fama-French three-factor model of expected returns indicates a linear relationship according to the size of the firm and book-to-market ratios.

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The Fama-French three-factor model includes market risk, size risk, and value risk as factors that affect expected returns. The size risk factor measures the difference in returns between small and large companies, while the value risk factor measures the difference in returns between high and low book-to-market ratio companies. The model suggests a linear relationship between these factors and expected returns.

The Fama-French Three-Factor Model of Expected Returns Indicates a Linear