In their multifactor model,Chen,Roll,and Ross found

Question

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Chen, Roll, and Ross found that two market indexes, the equally weighted NYSE and the value-weighted NYSE, were not significant predictors of security returns. They also found that the value-weighted NYSE index had the incorrect sign, implying a negative market risk premium. However, they did not find that changes in inflation predicted security returns, so option C is incorrect. Therefore, the correct answer is option D as it states the two findings that the model did or did not find.

In Their Multifactor Model,Chen,Roll,and Ross Found