An Extension of the Fama-French Three-Factor Model Includes a Fourth

question 9

Multiple Choice

An extension of the Fama-French three-factor model includes a fourth factor to measure

• A) default spread.
• B) term spread.
• C) momentum.
• D) industrial production.
• E) inflation.

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Definitions:

Standard Deviation

A measure of the amount of variation or dispersion in a set of values.

Null Hypothesis

In testing, it is the presumption that no effect or no difference exists in the population, serving as the hypothesis that is formally tested.

P-value

A measure in statistical hypothesis testing that helps in determining the significance of results, indicating the probability of observing the data if the null hypothesis is true.

Simple Random Sample

A sample drawn in such a way that every member of the population has an equal chance of being selected.