Petkova and Zhang (2005) Examine the Relationship Between Beta and the Market

Multiple Choice

Petkova and Zhang (2005) examine the relationship between beta and the market risk premium and find

A) a countercyclical beta is negative in good economies and positive in bad economies.
B) the beta of the HML portfolio is negative in good economies and positive in bad economies.
C) a cyclical beta is positive in good economies and negative in bad economies.
D) the beta of the HML portfolio is positive in good economies and negative in bad economies.
E) a countercyclical beta and the beta of the HML portfolio are negative in good economies and positive in bad economies.