Findings by Fama and French that stocks with high Book Value to Market Price ratios tended to produce larger risk adjusted returns than stocks with low Book Value to Market Price ratios challenge the efficacy of the CAPM.

Question

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Fama and French's findings suggest that other factors, such as Book Value to Market Price ratios, may be important in explaining stock returns and cannot be fully accounted for by the CAPM.

Findings by Fama and French That Stocks with High Book