Multiple Choice
In the empirical study of a multifactor model by Chen, Roll, and Ross, a factor that did not appear to have significant explanatory power in explaining security returns was
A) the change in the expected rate of inflation.
B) the risk premium on corporate bonds.
C) the unexpected change in the rate of inflation.
D) industrial production.
Correct Answer:
Verified
Correct Answer:
Verified
Q22: In the 1972 empirical study by Black,
Q23: Which of the following statements is false
Q24: Consider the regression equation: r<sub>i</sub> - r<sub>f</sub>
Q25: Tests of the CAPM that use regression
Q26: An extension of the Fama-French three-factor model
Q28: Given the results of the early studies
Q29: The Fama-French model I) is a useful
Q30: Consider the regression equation: r<sub>i</sub> - r<sub>f</sub>
Q31: In the 1972 empirical study by Black,
Q32: The expected return/beta relationship is used<br>A)by regulatory