Which of the following statements about Fama-French three factor model is TRUE?
Question 21 options:
a)
If SMB is positive in May, that means that the average return of small stocks was higher than that of large stocks.
b)
If a stock has a negative coefficient on HML, it suggests that the stock moves like value stocks.
c)
If a stock has a negative coefficient on SMB, it means that the stock is more exposed to distress risk and information risk.
d)
Another name for SMB factor is value minus growth factor.