- CFA Exams
- CFA Level I Exam
- Study Session 9. Equity Valuation (1)
- Reading 25. Return Concepts
- Subject 4. The required return on equity - other models
CFA Practice Question
Based on the Fama-French model, which portfolio will likely to have the highest risk?
A. small cap and value stocks.
B. big cap and growth stocks.
C. small cap and growth stocks.
Explanation: The signs of the coefficients suggested that small cap and value portfolios have higher expected returns - and arguably higher expected risk - than those of large cap and growth portfolios.
User Contributed Comments 3
| User | Comment |
|---|---|
| somk | OMG. arguably. this is one of the questions that make me have the impression that AN staff r cool ;) |
| birdperson | ^^ written by an AN employee ;) |
| harrybay | Fama-French is so wrong |