Which of the Following Statements Is False

question 11

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.

---

Definitions:

Accounts

Narratives or explanations provided to make sense of events or actions.

Ethnomethodology

The study of how social order is produced in and through processes of social interaction.

Theoretical Traditions

Established frameworks or approaches within academic disciplines that guide research, analysis, and the interpretation of phenomena.

Ethnomethodologists

Researchers focusing on the way people make sense of their everyday social interactions, emphasizing the methods and practices used to maintain social order.