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)

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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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)

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