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:

Episodes

Periods or occurrences of a specific event or condition, commonly used in the context of medical or psychological events.

Forgetful

Characterized by a loss of memory or the inability to remember things; often temporary or situational.

Neuromuscular System

The combined system of nerves and muscles in the body, responsible for movement and coordination.

Reflex Responses

Automatic reactions to stimuli that do not require conscious thought, integral to the nervous system's function.