14.

Which of the following statements are true about systematic risk?

Select one or more:

a.

Beta is a measure of systematic risk in ALL asset pricing models

b.

Systematic risk can be fully eliminated by diversification

c.

Systematic risk can be traded among financial entities but cannot be destroyed or eliminated

d.

All stocks must have the same exposure/factor loading on systematic risk

e.

Systematic risk is priced

f.

The premia on systematic risk must always be higher than the risk-free rate