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Which of the following is TRUE of Blacks zero-beta CAPM, if your data includes 120...

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Finance

Which of the following is TRUE of Blacks zero-beta CAPM, if your data includes 120 portfolios?

Select one:

a)

The null hypothesis is \( \alpha_i) are jointly zero.

b)

This model asumes that investors are risk averse

c)

Blacks zero-beta CAPM is established under the assumption that investors can lend and borrow at the risk-free rate.

d)

The LR test statistics for testing Black's CAPM follows a 2(120)2(120) distribution.

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