In the Empirical Study of a Multi-Factor Model by Chen,Roll,and

question 10

Multiple Choice

In the empirical study of a multi-factor model by Chen,Roll,and Ross,a factor that appeared to have significant explanatory power in explaining security returns was

• A) the change in the expected rate of inflation
• B) the risk premium on bonds
• C) the unexpected change in the rate of inflation
• D) industrial production
• E) b,c and d

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Definitions:

Compounded Monthly

A method where interest is calculated monthly and added to the principal sum, resulting in interest on interest.

Periodic Interest Rate

The interest rate charged or paid over a specific period of time, often expressed as a percentage.

Payment Interval

The scheduled period between payments made by a borrower or payer to a lender or payee.

Compounded Quarterly

A financial calculation where interest is added to the principal four times a year, resulting in an increased amount on which subsequent interest calculations are based.