Exam 13: Empirical Evidence on Security Returns

The Fama French model I) is a useful tool for benchmarking performance against a well defined set of factors. II. premia are determined by market irrationality. III. premia are determined by rational risk factors. IV. is the reason that the premia is unsettled. V. is not a useful tool for benchmarking performance against a well defined set of factors.

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

According to Roll, the only testable hypothesis associated with the CAPM is

The expected return/beta relationship is not used

Tests of the CAPM that use regression techniques are subject to inaccuracies because

Tests of multifactor models indicate

Fama and French (1992) found that

An extension of the Fama French three factor model was introduced by

In the results of the earliest estimations of the security market line by Miller and Scholes (1972), it was found that the average difference between a stock's return and the risk free rate was ________ to its nonsystematic risk and ________ to its beta.

Liew and Vassalou (2000) show that returns on style portfolios (SMB and HML)

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

Equity premium puzzle studies may be subject to survivorship bias because