Which of the Following Factors Did Chen, Roll, and Ross

Multiple Choice

Which of the following factors did Chen, Roll, and Ross not include in their multifactor model?

A) Change in industrial production
B) Change in expected inflation
C) Change in unanticipated inflation
D) Excess return of long-term government bonds over T-bills
E) All of the factors are included in the Chen, Roll, and Ross multifactor model.