Petkova and Zhang (2005) Examine the Relationship Between Beta and the Market

question 12

Multiple Choice

Petkova and Zhang (2005) examine the relationship between beta and the market risk premium and find

• A) a countercyclical beta is negative in good economies and positive in bad economies.
• B) the beta of the HML portfolio is negative in good economies and positive in bad economies.
• C) a cyclical beta is positive in good economies and negative in bad economies.
• D) the beta of the HML portfolio is positive in good economies and negative in bad economies.
• E) a countercyclical beta and the beta of the HML portfolio are negative in good economies and positive in bad economies.

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Definitions:

Joint Action

A collaborative effort where two or more parties work together towards a common goal, typically in a legal or governmental context.

Section 1

A specific segment or provision within a broader legal document or statute, which would require context to fully understand its implications.

Exclusive Dealing

A contractual arrangement where one party agrees to buy goods from another party on the condition that no goods will be purchased from competitors.

Manufacturer's Sales

Transactions involving the sale of goods directly from the manufacturer to buyers, bypassing intermediary retailers or wholesalers.