Which of the Following Statements Is False

question 61

Multiple Choice

Which of the following statements is false?

• A) The risk premium of any marketable security can be written as the sum of the risk premium of each factor multiplied by the sensitivity of the stock with that factor.
• B) The factor betas measure the sensitivity of the stock to a particular factor.
• C) If we use more than one portfolio as factors, then together these factors will capture systematic risk, but each factor captures different components of the systematic risk.
• D) When we use more than one portfolio to capture risk, the model is known as a single factor model.

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