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.

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Definitions:

Promoter Site

A region of DNA that initiates transcription of a particular gene.

Messenger RNA

A type of RNA molecule that carries genetic information from DNA to the ribosome, where it directs protein synthesis.

Gene Expression

Multistep process by which the information in a gene guides assembly of an RNA or protein product. Includes transcription and translation.

DNA

Deoxyribonucleic acid, a molecule that carries the genetic instructions used in the growth, development, functioning, and reproduction of all known living organisms.