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) return differences between foreign stocks

Question

Quizplus · Accepted Answer

E  Fama and French's three-factor model includes: (A) excess returns to a broad market index, (B) return differences between small-cap and large-cap portfolios, and (D) return differences between value and growth stocks. It does not include (C) return differences between industry characteristics or (E) return differences between foreign stocks.

Fama and French Suggest a Three-Factor Model Approach