The value effect in stock returns shows that:

a)The returns on stock portfolios of firms sorted by their market-to book ratio are well explained by the standard CAPM.

b)The returns on stock portfolios of firms sorted by their market-to book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have lower returns than predicted by the CAPM.

c)The returns on stock portfolios of firms sorted by their market-to book ratio cannot be explained by the standard CAPM. Firms with high book-to-market ratios have higher returns than predicted by the CAPM.

Please select all the portfolios that have been shown to have CAPM alpha.

a)SMB: long small stocks, short large stocks.

b)HML: long high book to value, short low book to value.

c)MOM: long recent winners, short recent losers.