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What of the following is TRUE on tests of CAPM? Select one: a) Both...

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Finance

What of the following is TRUE on tests of CAPM?

Select one:

a)

Both Wald test statistics and Likelihood ratio test statistics follow normal distribution.

b)

Both Wald test and likelihood ratio test can be used to test the Black zero-beta CAPM model.

c)

Only Wald test, but not likelihood test can be used to test Sharpe-Lintner CAPM model.

d)

Both Sharpe-Lintner CAPM model and Black's zero-beta CAPM model assumes investors are mean-variance optimizers.

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