Which of Statements A) Through C) Regarding Chen, Roll and Ross

question 47

Multiple Choice

Which of statements a) through c) regarding Chen, Roll and Ross' ["Economic Forces and the Stock Market," Journal of Business 1986] application of APT is FALSE?

• A) By itself, the market factor is statistically significant because all stocks are exposed to systematic macroeconomic risks that underlie returns to the market portfolio.
• B) The coefficients on the macroeconomic factors were not statistically significant.
• C) When market portfolio indices were included along with Chen, et. al.'s macroeconomic factors, the market factor had an insignificant coefficient.
• D) All three of the above (a-c) are false.
• E) Two of the above (a-c) are false.

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