In the 1972 Empirical Study by Black, Jensen, and Scholes

Multiple Choice

In the 1972 empirical study by Black, Jensen, and Scholes, they found that the risk-adjusted returns of high beta portfolios were _____________ the risk-adjusted returns of low beta portfolios.

A) greater than
B) equal to
C) less than
D) unrelated to
E) More information is necessary to answer this question.