Fama and French Suggest a Three-Factor Model Approach

question 151

Multiple Choice

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

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