Multiple Choice
Fama and MacBeth (1973) found that the relationship between average excess returns and betas was
A) linear.
B) nonexistent.
C) as expected, based on earlier studies.
D) linear and as expected, based on earlier studies.
Correct Answer:
Verified
Correct Answer:
Verified
Q2: If a market proxy portfolio consistently beats
Q3: An extension of the Fama-French three-factor model
Q4: Which of the following statements is true
Q5: In the results of the earliest estimations
Q6: Tests of multifactor models indicate<br>A)the single-factor model
Q7: Consider the regression equation: r<sub>it</sub> - r<sub>ft</sub>
Q8: Kandel and Stambaugh (1995) expanded Roll's critique
Q9: In the results of the earliest estimations
Q10: In their multifactor model, Chen, Roll, and
Q11: Fama and French (2002) studied the equity