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QUESTION 8 Which of the following statements is false? a. According to Roll's critique CAPM's theory is untestable. o b. Generally, less liquid assets have

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QUESTION 8 Which of the following statements is false? a. According to Roll's critique CAPM's theory is untestable. o b. Generally, less liquid assets have lower returns o c. According to Fama and French (1992), characteristics of firms such as size and book-to-market ratio are more useful in predicting returns than the market factor d. Under CAPM, investors only get compensated for bearing systematic risk

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