Fama and MacBeth (1973) found that the relationship between average excess returns and betas was
A)linear.
B)nonexistent.
C)as expected, based on earlier studies.
D)linear and as expected, based on earlier studies.

Question

Quizplus · Accepted Answer

Fama and MacBeth (1973) found a linear relationship between average excess returns and betas, which was consistent with the earlier studies. Therefore, the best choice is D, which states that the relationship is both linear and as expected based on earlier studies.

Fama and MacBeth (1973) Found That the Relationship Between Average