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)

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter3: Evaluation Of Financial Performance

Section: Chapter Questions

Problem 10P

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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
		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)