Liew and Vassalou (2000)show That Returns on Style Portfolios (SMB

question 9

Multiple Choice

Liew and Vassalou (2000) show that returns on style portfolios (SMB and HML)

• A)seem like statistical flukes.
• B)seem to predict GDP growth.
• C)may be proxies for business cycle risk.
• D)B and C.
• E)none of the above

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