In Developing Their Test of a Multifactor Model, Chen, Roll

question 14

Multiple Choice

In developing their test of a multifactor model, Chen, Roll, and Ross hypothesized that __________ might be a proxy for systematic factors.

• A) the monthly growth rate in industrial production
• B) unexpected inflation
• C) expected inflation
• D) the monthly growth rate in industrial production and unexpected inflation
• E) the monthly growth rate in industrial production, unexpected inflation, and expected inflation