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

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According to the statement, "a factor that appeared to have significant explanatory power in explaining security returns was", we can eliminate option B (risk premium on bonds) because it mentions a risk premium on a single asset class, not a multi-factor model. Additionally, option A only includes the change in the expected rate of inflation, while option C only includes the unexpected change in the rate of inflation. These are both important factors but do not cover everything. Option D (industrial production) is important, but it is not the only factor. Therefore, the best choice is E, as it includes all three factors listed (the change in the expected rate of inflation, the unexpected change in the rate of inflation, and industrial production) and encompasses a more comprehensive multi-factor model.

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