What did Fama and French study in regards to their argument against efficient market hypothesis?
A、Divide the firms into three groups based on their sizes and compare their historical average returns.
B、Sub-group market returns into different samples and prove that a bias in distribution can exist from time to time.
C、Prove that market participants behave irrationally by observing their behavior in a lab setting.
D、Formulate a theory where financial market participants behave endogenously given various legal and quantitative constraints.