An extension of the Fama-French three-factor model includes a fourth factor to measure
A) default spread.
B) term spread.
C) momentum.
D) industrial production.
E) inflation.

Question

Quizplus · Accepted Answer

The extension of the Fama-French three-factor model includes a fourth factor to measure momentum, capturing the tendency of stocks to continue performing in the same direction.

An Extension of the Fama-French Three-Factor Model Includes a Fourth