Which of the following factors did Chen, Roll, and Ross not include in their multifactor model? A) Change in industrial production B) Change in expected inflation C) Change in unanticipated inflation D) Excess return of long-term government bonds over T-bills E) All of the factors are included in the Chen, Roll, and Ross multifactor model.

Question

Quizplus · Accepted Answer

Chen, Roll, and Ross included the four listed factors as well as the excess return of long-term corporate bonds over long-term government bonds in their model.

Which of the Following Factors Did Chen, Roll, and Ross