If a market proxy portfolio consistently beats all professionally-managed portfolios on a risk-adjusted basis, it may be concluded that
A) the CAPM is valid.
B) the market proxy is mean/variance efficient.
C) the CAPM is invalid.
D) the CAPM is valid and the market proxy is mean/variance efficient.
Correct Answer:
Verified
Q1: Consider the regression equation: ri - rf
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Q4: The expected return/beta relationship is used
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Q5: In the empirical study of a multifactor
Q6: In the results of the earliest estimations
Q7: In the results of the earliest estimations
Q8: In the 1972 empirical study by Black,
Q9: In the 1972 empirical study by Black,
Q10: Fama and MacBeth (1973) found that the
Q11: Consider the regression equation: ri - rf
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