Question: Suppose that the Fama-French 3-factor model describes security returns, that is E[ri]rf=biE[rmrf]+siE[SMB]+hiE[HML] Suppose that Stock A has the following factor betas: bA=1,sA=0.8,hA=0.7. Given this information,

Suppose that the Fama-French 3-factor model describes security returns, that is E[ri]rf=biE[rmrf]+siE[SMB]+hiE[HML] Suppose that Stock A has the following factor betas: bA=1,sA=0.8,hA=0.7. Given this information, it is expected that Stock A has high book-to-market ratio. True False

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