According to the momentum effect

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Reference no: EM132032599

1. Historically, winner stocks and loser stocks both tend to be growth stocks; they both tend to be medium size stocks. These mean their value beta and size beta are also very similar. Therefore, the winner-minus-loser stock return

A. Cannot be fully explained by the Fama-French 3 factor model

B. Generate zero alpha in the Fama-French 3 factor model

C. Generate negative alpha in the Fama-French 3 factor model

2. According to the momentum effect, winner stocks on average generate high returns than loser stocks on average. Historically, winner stocks and loser stocks have similar market beta. This means the winner-minus-loser return

A. Cannot be fully explained by the CAPM model

B. Generate zero alpha in the CAPM model

C. Generate negative alpha in the CAPM model

Reference no: EM132032599

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