In Their Multifactor Model, Chen, Roll, and Ross Found

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

A) that two market indexes, the equally weighted NYSE and the value weighted NYSE, were not significant predictors of security returns.
B) that the value weighted NYSE index had the incorrect sign, implying a negative market risk premium.
C) expected changes in inflation predicted security returns.
D) that two market indexes, the equally weighted NYSE and the value weighted NYSE, were not significant predictors of security returns and that the value weighted NYSE index had the incorrect sign, implying a negative market risk premium.
E) All of the options.

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