In the 1972 empirical study by Black, Jensen, and Scholes, they found that the risk-adjusted returns of high beta portfolios were _____________ the risk-adjusted returns of low beta portfolios.
A) greater than
B) equal to
C) less than
D) unrelated to
E) More information is necessary to answer this question.

Question

Quizplus · Accepted Answer

The study by Black, Jensen, and Scholes found that the risk-adjusted returns of high beta portfolios were less than those of low beta portfolios, challenging the Capital Asset Pricing Model (CAPM) prediction that higher risk (beta) should be compensated with higher returns.

In the 1972 Empirical Study by Black, Jensen, and Scholes