Business, 12.03.2020 20:14 emmaja121003

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.

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Which of the following statements is false?

A) Because expected returns are not easy to...

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