Tests of Multifactor Models Indicate

Multiple Choice

Tests of multifactor models indicate

A) the single-factor model has better explanatory power in estimating security returns.
B) macroeconomic variables have no explanatory power in estimating security returns.
C) it may be possible to hedge some economic factors that affect future-consumption risk with appropriate portfolios.
D) multifactor models do not work.
E) None of the options are correct.