Which of the Following Statements Is FALSE

question 54

Multiple Choice

Which of the following statements is FALSE?

• A)Because expected returns are not easy to estimate,each portfolio that is added to a multifactor model increases the difficulty of implementing the model.
• B)The self-financing portfolio made from high minus low book-to-market stocks is called the high-minus-low (HML)portfolio.
• C)The FFC factor specification was identified a little more than ten years ago.Although it is widely used in academic literature to measure risk,much debate persists about whether it really is a significant improvement over the CAPM.
• D)A trading strategy that each year short sells portfolio S (small stocks)and uses this position to buy portfolio B (big stocks)has produced positive risk adjusted returns historically.This self-financing portfolio is widely known as the small minus big (SMB)portfolio.

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Definitions:

National Average

The mean value calculated from the available data that represents a norm or benchmark across a country.

Divorce Rate

The divorce rate is a statistical measure that represents the number of divorces per unit of population within a specified time period or demographic.

Confidence Interval

A range of values derived from sample statistics that is likely to contain the true value of an unknown population parameter.

Population Proportion

The fraction or percentage of a population that exhibits a particular characteristic or attribute.