A Study by Chen, Roll, and Ross in 1986 Examined

Multiple Choice

A study by Chen, Roll, and Ross in 1986 examined all of the following factors in applying the Arbitrage Pricing Theory (APT) EXCEPT

A) the return on a market value-weighted return.
B) the monthly growth rate in U.S. industrial production.
C) the change in the consumer price index (CPI) .
D) the expected change in the bond credit spread.
E) the return of foreign stock indices.