What is the main criticism of the CAPM referred to as Roll's critique?
A) The stock market is not efficient.
B) The CAPM does not hold because beta is not a good measure of risk.
C) The market portfolio is impossible to estimate.
D) The CAPM does not hold empirically.

Question

Quizplus · Accepted Answer

Roll's critique argues that the CAPM is untestable because the true market portfolio, which should include all investable assets, is impossible to observe or estimate accurately.

What Is the Main Criticism of the CAPM Referred to as Roll's