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Nataniel Matías Rivera
on Nov 04, 2024

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Fama and MacBeth (1973) found that the relationship between average excess returns and betas was

A) quasilinear.
B) nonexistent.
C) refutes earlier studies.
D) linear and as expected, based on earlier studies.
E) Fama and MacBeth did not examine the relationship between excess returns and beta.

Average Excess Returns

The average return on an investment above the return of a benchmark or risk-free asset.

Quasilinear

Pertaining to equations or functions that are nearly, but not exactly, linear in their behavior or representation.

Betas

A measure of a stock's volatility in relation to the overall market; a beta above 1 indicates greater volatility than the overall market.

  • Assess the empirical studies and their conclusions on the CAPM and multifactor models.
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YJ
Yiwen JiangNov 10, 2024
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