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) A and C
Correct Answer:
Verified
Q1: In the empirical study of a multi-factor
Q2: In the 1972 empirical study by Black,Jensen,and
Q4: In the 1972 empirical study by Black,Jensen,and
Q5: In the empirical study of a multi-factor
Q6: Consider the regression equation:
Ri- rf= g0+g1b1+ g2s2(ei)+
Q7: The expected return/beta relationship is used _.
A)by
Q8: Consider the regression equation:
Rit- rft= ai+ bi(rmt-
Q9: The expected return/beta relationship is not used
Q10: _ argued in his famous critique that
Q11: If a professionally managed portfolio consistently outperforms
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