Which of the Following Is an Empirical Implication of the APT

Multiple Choice

Which of the following is an empirical implication of the APT?

A) Low market-to-book equities are more sensitive to swings in the business cycle and changes in credit conditions.
B) The only risk securities have is unsystematic risk.
C) The expected return of any portfolio with factor betas that are all equal to zero is the risk-free rate.
D) The expected returns of securities decrease linearly with increases in a given factor beta.