Question: 12. We discussed a study in chapter nine titled Fama-French study on the CAPM Beta, Size, and Book-to-Market. The study found that: A) The CAPM

12. We discussed a study in chapter nine titled Fama-French study on the CAPM Beta, Size, and Book-to-Market. The study found that: A) The CAPM beta is not positively related to the cross-section of future stock returns. However, firm size (firm book-to-market) is positively (negatively) related to the cross-section of future stock returns. B) The CAPM beta is not positively related to the cross-section of future stock returns. However, firm size (firm book-to-market) is negatively (positively) related to the cross-section of future stock returns. C) The CAPM beta is positively related to the cross-section of future stock returns, and both firm size and firm book-to-market are not related to the cross-section of future stock returns. D) The CAPM beta is negatively related to the cross-section of future stock returns and both firm size and firm book-to-market are negatively related to the cross-section of future stock returns.

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