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Suppose that the Fama-French 3-factor model describes security returns, that is E [ r i...

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Finance

Suppose that the Fama-French 3-factor model describes security returns, that is

E [ r i ] r f = b i E [ r m r f ] + s i E [ S M B ] + h i E [ H M L ]

Suppose that Stock A has the following factor betas: A = 1, A = 0.8, A = 0.7. Given this information, it is expected that Stock A has high book-to-market ratio.

True or False

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