Exam 13: Empirical Evidence on Security Returns

If a professionally managed portfolio consistently outperforms the market proxy on a risk-adjusted basis and the market is efficient,it should be concluded that _________.

Kandel and Stambaugh (1995)expanded Roll's critique of the CAPM by arguing that tests rejecting a positive relationship between average return and beta are demonstrating

Strongest evidence in support of the CAPM has come from demonstrating that

Early tests of the CAPM involved

Which of the following statements is false about models that attempt to measure the empirical performance of the CAPM?

Petkova and Zhang (2005)examine the relationship between beta and the market risk premium and find

Which of the following would be required for tests of the multifactor CAPM and APT?

An extension of the Fama-French three-factor model includes a fourth factor to measure ________.

Jagannathan and Wang (2006)find that the CCAPM explains returns ______ the Fama-French 3-factor model and that the Fama-French 3-factor model explains returns ______ the traditional CAPM.

Consider the regression equation: r_i - r_f = g₀ + g₁b_i + e_it Where:r_i - r_f = the average difference between the monthly return on stock i and the monthly risk-free rate B_i = the beta of stock i This regression equation is used to estimate __________.

The Fama and French three factor model does not use ___ as one of the explanatory factors.

In the empirical study of a multi-factor model by Chen,Roll,and Ross,a factor that did not appear to have significant explanatory power in explaining security returns was________.

A major finding by Heaton and Lucas (2000)is that:

In their multifactor model,Chen,Roll,and Ross found

Tests of multifactor models indicate

In developing their test of a multifactor model,Chen,Roll,and Ross hypothesized that __________ for systematic factors.