Which of the following would be required for tests of the multifactor CAPM and APT?
A)Specification of risk factors.
B)Identification of portfolios that hedge these fundamental risk factors.
C)Tests of the explanatory power and risk premiums of the hedge portfolios.
D)All of the above are true.
E)None of the above is true.

Question

Quizplus · Accepted Answer

The multifactor CAPM and APT both require the specification of risk factors, the identification of portfolios that hedge these fundamental risk factors, and tests of the explanatory power and risk premiums of the hedge portfolios. Therefore, all of the statements are true.

Which of the Following Would Be Required for Tests of the Multifactor