Iris2019-02-15 00:43:12

Which of the following statements about the risk anomaly is TRUE? B. Due to time-varying reality, it is theoretically intractable to create a reproducible benchmark for either the low beta or low volatility risk anomalities such that empirical tests of the risk anomalities are not robust and the discussion remains "largely theoretical" C. The risk anomaly might be explained by investors who are leveraged constrained and/or have an "agency problem" created by a need to minimize tracking error with the benchmark. 想问老师为什么B不对呢，答案是C