According to Roll, the only testable hypothesis associated with the CAPM is
A)the number of ex-post mean-variance efficient portfolios.
B)the exact composition of the market portfolio.
C)whether the market portfolio is mean-variance efficient.
D)the SML relationship.
E)None of the options

Question

Quizplus · Accepted Answer

According to Roll, the only testable hypothesis about the CAPM is that the market portfolio is mean-variance efficient.

According to Roll, the Only Testable Hypothesis Associated with the CAPM