If a Professionally-Managed Portfolio Consistently Outperforms the Market Proxy on a Risk-Adjusted
If a professionally-managed portfolio consistently outperforms the market proxy on a risk-adjusted basis and the market is efficient, it should be concluded that
A) the CAPM is invalid.
B) the proxy is inadequate.
C) either the CAPM is invalid or the proxy is inadequate.
D) the CAPM is valid and the proxy is adequate.
Correct Answer:
Verified
Q15: Consider the regression equation: ri - rf
Q16: The CAPM is not testable unless
A)the exact
Q17: Consider the regression equation: rit - rft
Q18: In the results of the earliest estimations
Q19: _ argued in his famous critique that
Q21: Tests of multifactor models indicate
A)the single-factor model
Q22: Fama and French (2002) studied the equity
Q23: Fama and French (1992) found that
A)firm size
Q24: Studies by Chan, Karceski, and Lakonishok (2003)
Q25: Tests of the CAPM that use regression
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