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According to the Petkova and Zhang explanation for the value premium, higher book to market...

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Accounting

According to the Petkova and Zhang explanation for the value premium, higher book to market ratio firms are more risky than low book to market ratio firms because:

a. The average market beta of low book to market ratio firms minus the average market beta of high book to market ratio firms is positive in market downturns but negative in market upturns. b. None of the options provided is correct

c. The average market beta of high book to market ratio firms minus the average market beta of low book to market ratio firms is always positive.

d. The average market beta of high book to market ratio firms minus the average market beta of low book to market ratio firms is positive in market downturns but negative in market upturns. e. The average market beta of high book to market ratio firms minus the average market beta of low book to market ratio firms is always negative.

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