Strongest Evidence in Support of the CAPM Has Come from Demonstrating

question 36

Multiple Choice

Strongest evidence in support of the CAPM has come from demonstrating that

• A) the market beta is equal to 1.0.
• B) nonsystematic risk has significant explanatory power in estimating security returns.
• C) the average return-beta relationship is highly significant.
• D) the intercept in tests of the excess returns-beta relationship is exactly zero.
• E) professional investors do not generally outperform market indexes, demonstrating that the market is efficient.

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Definitions:

Quantitative Terms

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Executive Summary

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