Business, 13.03.2020 05:30 josephvcarter

Which of the following statements is false?

A. 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.

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Which of the following statements is false?

A. A Because expected returns are not easy t...