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3.   Which of the following statement(s) is/are true? I.   The risk premium of any marketable security...

3.   Which of the following statement(s) is/are true?
I.   The risk premium of any marketable security can be written as the sum of the risk premium of each factor multiplied by the beta associated with that factor.
II.   The factor betas measure the sensitivity of the stock to a particular factor.
III.   If we use more than one portfolio as factors, then together these factors will capture systematic risk, but each factor captures different components of the systematic risk.

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Answer #1

Ans II.   The factor betas measure the sensitivity of the stock to a particular factor. and

III.   If we use more than one portfolio as factors, then together these factors will capture systematic risk, but each factor captures different components of the systematic risk.

False one is

I.   The risk premium of any marketable security can be written as the sum of the risk premium of each factor multiplied by the sensitivity of the stock with that factor.

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