Which of the following factors did Chen,Roll and Ross not include in their multifactor model?
A) Change in industrial production
B) Change in expected inflation
C) Change in unanticipated inflation
D) Excess return of long-term government bonds over T-bills
E) All of these factors were included in their model.

Question

Quizplus · Accepted Answer

Chen, Roll, and Ross included all these factors in their multifactor model, which is known as the Arbitrage Pricing Theory (APT).

Which of the Following Factors Did Chen,Roll and Ross Not