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

Question 5

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 corporate bonds
C) the unexpected change in the rate of inflation
D) industrial production
E) B,C and D

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