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Which of the following empirical findings would cast doubt on the validity of the capital asset pricing model? I. The momentum factor ( UMD )
Which of the following empirical findings would cast doubt on the validity of the capital asset pricing model?
I. The momentum factor UMD has a positive and significant CAPM alpha.
II The intercept of the empirical security market line is equal to the riskless rate of while the market risk premium is
III. A timeseries regression of a mutual funds monthly excess returns on the market excess returns results in a significantly negative intercept estimate.
A
Only I
B
I and II
C
Only II
D
I and III
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