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

question 13

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) a and b.
• E) a,b,and c.

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