CFA Practice Question

There are 57 practice questions for this study session.

CFA Practice Question

Which statement is false regarding the Fama-French model?
A. The coefficients Bs and Bv can take negative and positive values.
B. A portfolio of big caps will likely to have a negative Bs coefficient.
C. A portfolio of value stocks will likely to have a positive Bs coefficient.
Explanation: It will likely to have a positive Bv coefficient, not Bs coefficient.

User Contributed Comments 11

User Comment
MattNYC Be careful of the deonomination of the question. I got it wrong because I wasn't looking at the coeffecient. Likely the CFA won't ask that but I guess I should be aware.
max81 could somebody please explain this ?
REITboy Notes say Bs = 1 is small cap, while Bs = 0 is large cap. What's Bs < 0? MegaMegaCap? Jeez...
bodduna Bs = Bull Sh**. Alright analystnotes you got me.
Man, that hurts.
I was assuming along it was Bv. I just took it for granted. I even cheated on this question. referred book too.Man that hurts.
Paulvw Bs is with respect to representative portfolios of small & large cap shares, and Bv with respect to portfolios of high P/B and low P/B shares. This means that Bs and Bv can stray above 1 and below 0, since some individual shares will always be outliers to the portfolios.
shiva5555 What are Bs and Bv?
somk i dont think thos Bees can take negative values. why things that have "french" in them tend to be ambiguous and confusing?
BeMy Hi ! I am French
thebkr777 and I'm Fama!
warnggg I'm Asness!
aruffo Bs and Bv = size and value
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