Which of the following factors is/are included in Fama and French’s (2015, “A five-factor asset pricing model”, Journal of Finance) five-factor asset pricing model? RMW: the average return for firms with the highest 30% operating profitabilities minus the average return for firms with the lowest 30% operating profitabilities WML: the average return for firms with the highest 30% 11-month returns lagged one month minus the average return for firms with the lowest 30% 11‑month returns lagged one month DEF: the difference between the average yield of bonds rated BAA by Moodys and the average yield of bonds rated AAA by Moodys (a) & (b) (b) & (c)
Which of the following factors is/are included in Fama and French’s (2015, “A five-factor asset pricing model”, Journal of Finance) five-factor asset pricing model? RMW: the average return for firms with the highest 30% operating profitabilities minus the average return for firms with the lowest 30% operating profitabilities WML: the average return for firms with the highest 30% 11-month returns lagged one month minus the average return for firms with the lowest 30% 11‑month returns lagged one month DEF: the difference between the average yield of bonds rated BAA by Moodys and the average yield of bonds rated AAA by Moodys (a) & (b) (b) & (c)
Chapter3: Evaluation Of Financial Performance
Section: Chapter Questions
Problem 10P
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Question
Which of the following factors is/are included in Fama and French’s (2015, “A five-factor asset pricing model”, Journal of Finance) five-factor asset pricing model?
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RMW: the average return for firms with the highest 30% operating profitabilities minus the average return for firms with the lowest 30% operating profitabilities |
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WML: the average return for firms with the highest 30% 11-month returns lagged one month minus the average return for firms with the lowest 30% 11‑month returns lagged one month |
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DEF: the difference between the average yield of bonds rated BAA by Moodys and the average yield of bonds rated AAA by Moodys |
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(a) & (b) |
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(b) & (c) |
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