26.
In their multifactor model, Chen, Roll, and Ross found
27.
Early tests of the CAPM involved
28.
According to Roll, the only testable hypothesis associated with the CAPM is
29.
One way that Black, Jensen and Scholes overcame the problem of measurement error was
to
30.
Strongest evidence in support of the CAPM has come from demonstrating that
31.
Which of the following would be required for tests of the multifactor CAPM and APT?
32.
Tests of multifactor models indicate
33.
Fama and French (1992) found that
34.
Which of the following statements is true about models that attempt to measure the
empirical performance of the CAPM?
35.
Which of the following statements is false about models that attempt to measure the
empirical performance of the CAPM?
I) The conventional CAPM works better than the conditional CAPM with human capital.
II) The conventional CAPM works about the same as the conditional CAPM with human
capital.
III) The conditional CAPM with human capital yields a better fit for empirical returns than
the conventional CAPM.
36.
A study by Mehra and Prescott (1985) found that historical average excess returns
37.
Fama and French (2002) studied the equity premium puzzle by breaking their sample into
subperiods and found that
38.
Which of the following is a (are) result(s) of the Fama and French (2002) study of the
equity premium puzzle?
I) Average realized returns during 1950-1999 exceeded the internal rate of return (IRR) for
corporate investments.
II) The statistical precision of average historical returns is far higher than the precision of
estimates from the dividend-discount model (DDM).
III) The reward-to-variability ratio (Sharpe) derived from the DDM is far more stable than
that derived from realized returns.
IV) There is no difference between DDM estimates and actual returns with regard to IRR,
statistical precision, or the Sharpe measure.
39.
Equity premium puzzle studies may be subject to survivorship bias because
40.
Tests of the CAPM that use regression techniques are subject to inaccuracies because
41.
Which of the following must be done to test the multifactor CAPM or the APT?
I) Specify the risk factors
II) Identify portfolios that hedge the risk factors
III) Test the explanatory power of hedge portfolios
IV) Test the risk premiums of hedge portfolios
42.
The Fama and French three-factor model uses ___, ___, and ___ as factors.
43.
The Fama and French three-factor model does not use ___ as one of the explanatory
factors.