In a study conducted by Jagannathan and Wang,it was found that the performance of beta in explaining security returns could be considerably enhanced by _____________.
I.including the unsystematic risk of a stock
II.including human capital in the market portfolio
III.allowing for changes in beta over time
A) I and II only
B) II and III only
C) I and III only
D) I, II and III

Question

Quizplus · Accepted Answer

Including human capital in the market portfolio and allowing for changes in beta over time were found to enhance the performance of beta in explaining security returns.

In a Study Conducted by Jagannathan and Wang,it Was Found