A study by Chen, Roll, and Ross in 1986 examined all of the following factors in applying the Arbitrage Pricing Theory (APT) EXCEPT
A) the return on a market value-weighted return.
B) the monthly growth rate in U.S. industrial production.
C) the change in the consumer price index (CPI).
D) the expected change in the bond credit spread.
E) the return of foreign stock indices.

Question

Quizplus · Accepted Answer

The study by Chen, Roll, and Ross in 1986 did not examine the expected change in the bond credit spread as part of applying the Arbitrage Pricing Theory (APT).

A Study by Chen, Roll, and Ross in 1986 Examined