In the Empirical Study of a Multifactor Model by Chen

question 46

Multiple Choice

In the empirical study of a multifactor model by Chen, Roll, and Ross, a factor (the factors) that appeared to have significant explanatory power in explaining security returns was (were)

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