Which of the Following Statements Concerning the One-Factor Market Model

question 33

Multiple Choice

Which of the following statements concerning the one-factor market model is FALSE?

• A) A high correlation means that points lie relatively closely around a regression line.
• B) The one-factor market model captures the exposure of an individual security to fluctuations in the market factor.
• C) The slope of a market model regression is equal to one.
• D) The one-factor market model estimates betas for use in the security market line.
• E) The market portfolio is often proxied by a domestic stock portfolio.