Which of the following is NOT a factor used by Chen,Roll and Ross (1986)in their empirical test of the APT?

A) industrial production
B) expected inflation
C) oil prices
D) unanticipated change in the term structure

Question

Which of the following is NOT a factor used by Chen,Roll and Ross (1986)in their empirical test of the APT?

A) industrial production
B) expected inflation
C) oil prices
D) unanticipated change in the term structure

Quizplus · Accepted Answer

Chen, Roll, and Ross (1986) in their empirical test of the Arbitrage Pricing Theory (APT) did not include oil prices as one of the factors. They focused on factors like industrial production, expected inflation, and unanticipated changes in the term structure, among others, to explain asset returns.

Which of the Following Is NOT a Factor Used by Chen,Roll