Which of statements a) through c) regarding Chen, Roll and Ross' ["Economic Forces and the Stock Market," Journal of Business 1986] application of APT is FALSE?
A) By itself, the market factor is statistically significant because all stocks are exposed to systematic macroeconomic risks that underlie returns to the market portfolio.
B) The coefficients on the macroeconomic factors were not statistically significant.
C) When market portfolio indices were included along with Chen, et. al.'s macroeconomic factors, the market factor had an insignificant coefficient.
D) All three of the above (a-c) are false.
E) Two of the above (a-c) are false.

Question

Quizplus · Accepted Answer

The statement that the coefficients on the macroeconomic factors were not statistically significant is false. Chen, Roll, and Ross found that certain macroeconomic factors were indeed statistically significant in explaining stock returns.

Which of Statements A) Through C) Regarding Chen, Roll and Ross