Which of the Following Is an Empirical Implication of the APT

question 18

Multiple Choice

Which of the following is an empirical implication of the APT?

• A)Low market-to-book equities are more sensitive to swings in the business cycle and changes in credit conditions.
• B)The only risk securities have is unsystematic risk.
• C)The expected return of any portfolio with factor betas that are all equal to zero is the risk-free rate.
• D)The expected returns of securities decrease linearly with increases in a given factor beta.

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