Which of the Following Factors Did Chen, Roll, and Ross

question 23

Multiple Choice

Which of the following factors did Chen, Roll, and Ross not include in their multifactor model?

• A) Change in industrial production
• B) Change in expected inflation
• C) Change in unanticipated inflation
• D) Excess return of long-term government bonds over T-bills
• E) All of the factors are included in the Chen, Roll, and Ross multifactor model.