Which of the following statements about the Fama-French three-factor model is wrong: A. Company size has an explanatory power in explaining the portfolio returns. B. Market risk has an explanatory...

Which of the following statements about the Fama-French three-factor model is wrong:

A.
Company size has an explanatory power in explaining the portfolio returns.

B.
Market risk has an explanatory power in explaining the portfolio returns.

C.
Book-to-market value companies has an explanatory power in explaining the portfolio returns.

D.
None of these factors.

E.
All of these factors.