Studies regarding the "death of beta"
A) indicate that the reports were premature.
B) indicate that effect of systematic risk on returns persists after controlling for such variables as market-to-book ratios.
C) indicate that beta is not a meaningful risk measure.
D) a and b.
E) none of these.

Question

Quizplus · Accepted Answer

Studies regarding the "death of beta" indicate that the reports were premature, as beta still has a significant impact on the returns of assets. Additionally, even after controlling for variables such as market-to-book ratios, the effect of systematic risk on returns persists. Therefore, choices A and B are both correct. However, there is no evidence to suggest that beta is not a meaningful risk measure, so choice C is incorrect.

Studies Regarding the "Death of Beta