According to Roll, the Only Testable Hypothesis Associated with the CAPM

question 15

Multiple Choice

According to Roll, the only testable hypothesis associated with the CAPM is

• A)the number of ex-post mean-variance efficient portfolios.
• B)the exact composition of the market portfolio.
• C)whether the market portfolio is mean-variance efficient.
• D)the SML relationship.

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Definitions:

Materials Quantity Variance

The variance between the real amount of materials consumed in the production process and the anticipated standard amount, times the standard unit cost.

Direct Materials Purchases Variance

A measure used in accounting to analyze the difference between the budgeted cost of materials needed for production and the actual cost incurred.

Actual Production

The real quantity of goods or services produced in a specified period, as opposed to planned or expected production levels.

Labor Rate Variance

The difference between the actual labor costs incurred and the standard labor costs expected for the labor hours worked.