8. Explain Roll’s critique as it applies to the tests performed in Problems 3 to 7.Market Index Stock Excess Returns (%)

A B C D E F G H I 1 29.65 33.88
25.20 36.48 42.89
39.89 39.67 74.57 40.22 90.19 2
11.91
49.87 24.70
25.11
54.39 44.92
54.33
79.76
71.58
26.64 3 14.73 65.14
25.04 18.91
39.86
3.91
5.69 26.73 14.49 18.14 4 27.68 14.46
38.64
23.31
0.72
3.21 92.39
3.82 13.74 0.09 5 5.18 15.67 61.93 63.95
32.82 44.26
42.96 101.67 24.24 8.98 6 25.97
32.17 44.94
19.56 69.42 90.43 76.72 1.72 77.22 72.38 7 10.64
31.55
74.65 50.18 74.52 15.38 21.95
43.95
13.40 28.95 8 1.02
23.79 47.02
42.28 28.61
17.64 28.83 98.01 28.12 39.41 9 18.82
4.59 28.69
0.54 2.32 42.36 18.93
2.45 37.65 94.67 10 23.92
8.03 48.61 23.65 26.26
3.65 23.31 15.36 80.59 52.51 11
41.61 78.22
85.02
0.79
68.70
85.71
45.64 2.27
72.47
80.26 12
6.64 4.75 42.95
48.60 26.27 13.24
34.34
54.47
1.50
24.46