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Liew and Vassalou (2000) Show That Returns on Style Portfolios

Question 12

Multiple Choice

Liew and Vassalou (2000) show that returns on style portfolios (SMB and HML)


A) seem like statistical flukes.
B) seem to predict GDP growth.
C) may be proxies for business cycle risk.
D) seem to predict GDP growth and may be proxies for business cycle risk.

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