Which of the Following Statements Is CORRECT

question 21

Multiple Choice

Which of the following statements is CORRECT?

• A) richard roll has argued that it is possible to test the capm to see if it is correct.
• B) tests have shown that the risk/return relationship appears to be linear, but the slope of the relationship is greater than that predicted by the capm.
• C) tests have shown that the betas of individual stocks are stable over time, but that the betas of large portfolios are much less stable.
• D) the most widely cited study of the validity of the capm is one performed by modigliani and miller.
• E) tests have shown that the betas of individual stocks are unstable over time, but that the betas of large portfolios are reasonably stable over time.

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