In Their Multifactor Model, Chen, Roll, and Ross Found

question 10

Multiple Choice

In their multifactor model, Chen, Roll, and Ross found

• A)that two market indexes, the equally-weighted NYSE and the value-weighted NYSE, were not significant predictors of security returns.
• B)that the value-weighted NYSE index had the incorrect sign, implying a negative market risk premium.
• C)expected changes in inflation-predicted security returns.
• D)that two market indexes, the equally-weighted NYSE and the value-weighted NYSE, were not significant predictors of security returns and that the value-weighted NYSE index had the incorrect sign, implying a negative market risk premium.

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