In Developing Their Test of a Multifactor Model, Chen, Roll

Multiple Choice

In developing their test of a multifactor model, Chen, Roll, and Ross hypothesized that __________ might be a proxy for systematic factors.

A) the monthly growth rate in industrial production
B) unexpected inflation
C) expected inflation
D) the monthly growth rate in industrial production and unexpected inflation
E) the monthly growth rate in industrial production, unexpected inflation, and expected inflation