In the Time-Series Approach to Estimating Factor Models, the Model

question 15

Multiple Choice

In the time-series approach to estimating factor models, the model builder begins with the assumption that

• A) nonfactor risk can be diversified away.
• B) the factors that affect security returns are known.
• C) the smalll-stock index consists of stocks that are below the median NYSE size.
• D) the growth rate of the gross domestic product.

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