The value anomaly shows that Question 2 options: The returns on different stock portfolios of firms sorted by their book-to- market ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns despite the fact that they do not have higher betas. The returns on different stock portfolios of firms sorted by their market-to- book ratio are well explained by the standard CAPM. The returns on different stock portfolios of firms sorted by their market-to- book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns despite the fact that they have higher betas. The returns on different stock portfolios of firms sorted by their market-to- book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have lower returns despite the fact that they have higher betas.
The value anomaly shows that
Question 2 options:
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The returns on different stock portfolios of firms sorted by their book-to- market ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns despite the fact that they do not have higher betas. |
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The returns on different stock portfolios of firms sorted by their market-to- book ratio are well explained by the standard CAPM. |
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The returns on different stock portfolios of firms sorted by their market-to- book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns despite the fact that they have higher betas. |
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The returns on different stock portfolios of firms sorted by their market-to- book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have lower returns despite the fact that they have higher betas. |
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