In their multifactor model, Chen, Roll, and Ross found
A)that two market indexes, the equally weighted NYSE and the value weighted NYSE, were not significant predictors of security returns.
B)that the value weighted NYSE index had the incorrect sign, implying a negative market risk premium.
C)expected changes in inflation predicted security returns.
D)that two market indexes, the equally weighted NYSE and the value weighted NYSE, were not significant predictors of security returns and that the value weighted NYSE index had the incorrect sign, implying a negative market risk premium.
E)All of the options.

Question

Quizplus · Accepted Answer

Two market indexes, the equally weighted NYSE and the value weighted NYSE, a negative market risk premium, and unexpected changes in inflation were significant predictors of security returns.

In Their Multifactor Model, Chen, Roll, and Ross Found