In the Empirical Study of a Multifactor Model by Chen

Multiple Choice

In the empirical study of a multifactor model by Chen, Roll, and Ross, a factor (the factors) that appeared to have significant explanatory power in explaining security returns was (were)

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.
E) the risk premium on corporate bonds, the unexpected change in the rate of inflation, and industrial production.