Select the factors that negatively predict the stock returns $($select $3$ and only $3$ options for this question. Selecting more or less than $3$ options would result in $0$ points.$)$

Question $18$Answer

$1.$

Momentum: Return in past year

$2.$

Idiosyncratic Volatility: Standard deviation of stock$-$specific returns

$3.$

Size: Stock market capitalization

$4.$

Book$-$to$-$market ratio

$5.$

Turnover: Shares traded as a fraction of outstanding shares