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In the Empirical Study of a Multi-Factor Model by Chen,Roll,and

Question 10

Multiple Choice

In the empirical study of a multi-factor model by Chen,Roll,and Ross,a factor that appeared to have significant explanatory power in explaining security returns was


A) the change in the expected rate of inflation
B) the risk premium on bonds
C) the unexpected change in the rate of inflation
D) industrial production
E) b,c and d

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