Which of the Following Is True of Firm Characteristics to Estimate

Multiple Choice

Which of the following is true of firm characteristics to estimate factors?

A) It provides the most intuitive interpretation of the market factors.
B) It uses macroeconomic time-series that capture changes in productivity,interest rates and inflation to act as proxies for the factors generating security returns.
C) Portfolios are selected on the basis of past return anomalies.
D) It assumes that covariances are constant.