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

question 54

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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