Banz found that, on average, the risk-adjusted returns of small firms ________.

A) were higher than the risk-adjusted returns of large firms
B) were the same as the risk-adjusted returns of large firms
C) were lower than the risk-adjusted returns of large firms
D) were negative

Risk-Adjusted Returns

Performance measurement that evaluates the return gained from an investment relative to the risk taken, often calculated using measures such as the Sharpe ratio.

Small Firms

Companies with a relatively small market capitalization.

Large Firms

Corporations or companies that have a significant market capitalization, extensive operations, and a widespread influence in their industries.