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)Fama and MacBeth did not examine the relationship between excess returns and beta.
E)linear and as expected, based on earlier studies.

Question

Quizplus · Accepted Answer

The Fama and MacBeth study validated earlier studies of the excess returns/beta relationship.

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