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1. Which of the following statement(s) is/are TRUE about the empirical test of the CAPM?...

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Accounting

1.

Which of the following statement(s) is/are TRUE about the empirical test of the CAPM?

[I]: It is a joint test of the CAPM and market efficiency.

[II] In practice, the true market portfolio is not observable.

[III] The empirical Security Market Line (SML) estimated using US historical data is too flat relative to the CAPM's theoretical prediction.

Select one:

a. [I] only.

b. [II] only.

c. [I], [II], and [III].

d. [III] only

e. [I] and [II] only.

2.

The Capital Asset Pricing Model (CAPM) asserts that portfolio returns are best explained by:

Select one:

a. economic factors.

b. technical indicators.

c. the GDP.

d. firm-specific risk.

e. systematic risk.

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