Question: Suppose you have data on all U . S . equities and want to construct the Fama - French plus Momentum factors. Which of the

Suppose you have data on all U

.

.

equities and want to construct the Fama

-

French plus Momentum factors. Which of the following pieces of information would you not need to do the factor construction? Circle the correct answer choice, and explain your answer in a sentence or two.

.

Book value

.

Risk

-

free rate

.

Market capitalization

.

Past returns

.

You would need all of the above

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