In developing their test of a multifactor model, Chen, Roll, and Ross hypothesized that __________ might be a proxy for systematic factors.
A) the monthly growth rate in industrial production
B) unexpected inflation
C) expected inflation
D) the monthly growth rate in industrial production and unexpected inflation
E) the monthly growth rate in industrial production, unexpected inflation, and expected inflation

Question

Quizplus · Accepted Answer

Chen, Roll, and Ross hypothesized that multiple economic variables, including the monthly growth rate in industrial production, unexpected inflation, and expected inflation, could serve as proxies for systematic factors in their multifactor model.

In Developing Their Test of a Multifactor Model, Chen, Roll