According to Roll,the only testable hypothesis associated with the CAPM is
A)the number of ex post mean-variance efficient portfolios.
B)the exact composition of the market portfolio.
C)whether the market portfolio is mean-variance efficient.
D)the SML relationship.
E)none of the above.

Question

Quizplus · Accepted Answer

Roll's critique of the CAPM states that the only testable hypothesis is whether the market portfolio is mean-variance efficient, as the CAPM assumes.

According to Roll,the Only Testable Hypothesis Associated with the CAPM