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Which of the following statements does not accurately describe the Fama and French three-factor model? The model: A. correctly captures a momentum variable as the difference in returns between winning and losing portfolios over the previous period. B. has also become standard in academic studies. C. indirectly captures the empirical irregularities of the small firm effect and the outperformance of value companies. D. includes two additional variables to the CAPM referred to as small minus big and high minus low. |