According to Roll,the Only Testable Hypothesis Associated with the CAPM

question 33

Multiple Choice

According to Roll,the only testable hypothesis associated with the CAPM is

• A) the number of ex post mean-variance efficient portfolios.
• B) The exact composition of the market portfolio.
• C) whether the market portfolio is mean-variance efficient.
• D) the SML relationship.
• E) none of these.

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Definitions:

One-Sample T-Test

A statistical test used to compare the mean of a single group to a known average or standard.

Effect Size

A quantifiable measure of the magnitude of an experimental effect, independent of sample size.

Guidelines

Standard rules or instructions set forth for conducting processes or making decisions.

Null Hypothesis

An assertion in statistical analysis that proposes no significant difference or effect exists between certain characteristics or groups.