Which of the Following Statements Is FALSE

question 75

Multiple Choice

Which of the following statements is FALSE?

• A)Because expected returns are not easy to estimate,each portfolio that is added to a multifactor model increases the difficulty of implementing the model.
• B)The self-financing portfolio made from high minus low book-to-market stocks is called the high-minus-low (HML)portfolio.
• C)The Fama-French-Carhart (FFC)factor specification was identified a little more than ten years ago.Although it is widely used in academic literature to measure risk,much debate persists about whether it really is a significant improvement over the CAPM.
• D)A trading strategy that each year short sells portfolio S (small stocks)and uses this position to buy portfolio B (big stocks)has produced positive risk-adjusted returns historically.This self-financing portfolio is widely known as the small-minus-big (SMB)portfolio.

---

Definitions:

Market Value

The present cost at which a good or service is available for purchase or sale on the public market.

Tutoring Services

Educational support services provided to students with the aim of improving their understanding and performance in various subjects.

Used Textbook

A previously owned textbook that may be sold at a lower price than a new version of the same book.