Historically, winner stocks and loser stocks both tend to be growth stocks; they both tend to be medium size stocks. These mean their value beta and size beta are also very similar. Therefore, the winner-minus-loser stock return
A. Cannot be fully explained by the Fama-French 3 factor model
B. Generate zero alpha in the Fama-French 3 factor model
C. Generate negative alpha in the Fama-French 3 factor model