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 model consists of three factors: the excess market return, a size factor, and a book-to-market factor. Option E includes all three of these factors. Option A includes a debt factor which is not part of the Fama-French model. Option B includes debt instead of the book-to-market factor, which is not correct. Option C includes all three factors, but it includes a debt factor instead of the size factor, which is not correct. Option D includes an industrial production factor, which is not part of the Fama-French model.

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