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Regarding Roll’s critique of the capital asset pricing model, which of the following statements is most likely true? Roll’s critique: A. relies on the joint hypothesis of the CAPM and efficient frontier. B. states that any rejection of the CAPM may simply be an artifact of using an observable, but incorrect risk-free rate proxy. C. suggests that the CAPM has never truly been tested. D. suggests that any empirical test of the CAPM is independent of a test of the market portfolio. |