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:

Quantity Demanded

The total amount of a good or service that consumers are willing and able to purchase at a given price within a specified time period.

Coca-Cola

A multinational beverage corporation known for its flagship product, a carbonated soft drink.

Pepsi

A carbonated soft drink produced and manufactured by PepsiCo, serving as a major competitor in the global beverage market.

Market Demand Curve

A graphical representation that shows the relationship between the price of a good and the total quantity demanded by all consumers in the market.