Which of the following statements is false? OA. Because expected returns are not easy to estimate,...
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Which of the following statements is false? OA. Because expected returns are not easy to estimate, each portfolio that is added to a multifactor model increases the difficulty of implementing the model. OB. The FFC factor specification was identified a little more than ten years ago. Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM. OC. A trading strategy that each year short sells portfolio S (small stocks) and uses this position to buy portfolio B (big stocks) has produced positive risk adjusted returns historically. This self- financing portfolio is widely known as the small minus big (SMB) portfolio. OD. The self - financing portfolio made from high minus low book - to - market stocks is called the high - minus – low (HML) portfolio. Which of the following statements is false? OA. Because expected returns are not easy to estimate, each portfolio that is added to a multifactor model increases the difficulty of implementing the model. OB. The FFC factor specification was identified a little more than ten years ago. Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM. OC. A trading strategy that each year short sells portfolio S (small stocks) and uses this position to buy portfolio B (big stocks) has produced positive risk adjusted returns historically. This self- financing portfolio is widely known as the small minus big (SMB) portfolio. OD. The self - financing portfolio made from high minus low book - to - market stocks is called the high - minus – low (HML) portfolio.
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Related Book For
Accounting concepts and applications
ISBN: 978-0538745482
11th Edition
Authors: Albrecht Stice, Stice Swain
Posted Date:
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