What is the main criticism of the CAPM referred to as Roll's critique?
A)The stock market is not efficient.
B)The CAPM does not hold because beta is not a good measure of risk.
C)The market portfolio is impossible to estimate.
D)All of the above are criticism of CAPM.

Question

Quizplus · Accepted Answer

Roll's critique specifically targets the CAPM's practical application, arguing that the true market portfolio is unobservable and thus impossible to accurately estimate. This makes testing the CAPM's predictions about asset prices and returns in real-world markets challenging.

What Is the Main Criticism of the CAPM Referred to as Roll's