In the 1972 empirical study by Black, Jensen, and Scholes, they found that the risk-adjusted returns of high beta portfolios were _____________ the risk-adjusted returns of low beta portfolios.
A)greater than
B)equal to
C)less than
D)unrelated to

Question

Quizplus · Accepted Answer

The study found that the risk-adjusted returns of high beta portfolios were less than the risk-adjusted returns of low beta portfolios.

In the 1972 Empirical Study by Black, Jensen, and Scholes