Which of the following statements is false? A Because expected returns are not e

Question

Which of the following statements is false? A Because expected returns are not easy to estimate, each portfolio that is added to a multifactor model increases the difficulty of implementing the model. B. The FFC factor specification was identified a little more than ten years ago. Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM. C. A trading strategy that each year short sells portfolio S (small stocks) and uses this position to buy portfolio B (big stocks) has produced positive risk adjusted returns historically. This self- financing portfolio is widely known as the small minus big (SMB) portfolio. D. The self - financing portfolio made from high minus low book - to market stocks is called the high - minus - low (HML) portfolio.

Explanation / Answer

Answer: C,
A trading strategy that each year buys portfolio S(small stocks) and use position to finance by short selling portfolio B(big stocks) has produced positive risk adjusted returns historically. This self-financing portfolio is widely known as the small minus big (SMB) portfolio.

Related Questions

Navigate

• Browse (All)
• Browse W
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.