In the 1972 empirical study by Black, Jensen, and Scholes, they found that the estimated slope of the security market line was _______ what the CAPM would predict.
A) flatter than
B) equal to
C) steeper than
D) one-half as much as
E) None of the options are correct.

Question

Quizplus · Accepted Answer

The study found that the estimated slope of the security market line was flatter than what the Capital Asset Pricing Model (CAPM) would predict, indicating that the relationship between risk and return was not as strong as CAPM suggested.

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