Which of the following factors did Chen, Roll, and Ross not include in their multifactor model?
A) Change in industrial production
B) Change in expected inflation
C) Change in unanticipated inflation
D) Excess return of long-term government bonds over T-bills
E) All of the factors are included in the Chen, Roll, and Ross multifactor model.

Question

Quizplus · Accepted Answer

All of the factors listed are indeed included in the Chen, Roll, and Ross multifactor model. This model is known for incorporating various economic and financial variables to explain stock returns, including industrial production changes, inflation expectations, and bond returns.

Which of the Following Factors Did Chen, Roll, and Ross