In Their Multifactor Model, Chen, Roll, and Ross Found

Multiple Choice

In their multifactor model, Chen, Roll, and Ross found

A) that two market indexes, the equally-weighted NYSE and the value-weighted NYSE, were not significant predictors of security returns.
B) that the value-weighted NYSE index had the incorrect sign, implying a negative market risk premium.
C) expected changes in inflation-predicted security returns.
D) that two market indexes, the equally-weighted NYSE and the value-weighted NYSE, were not significant predictors of security returns and that the value-weighted NYSE index had the incorrect sign, implying a negative market risk premium.