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19. Diversification effectively eliminates an investors exposure to non-systematic risk but not systematic risk. Thus, stocks with high exposure to systematic risk factors must offer
19. Diversification effectively eliminates an investors exposure to non-systematic risk but not systematic risk. Thus, stocks with high exposure to systematic risk factors must offer investors high rates of return in equilibrium. In contrast, investors should not expect higher rates of return when investing in stocks with high exposure to non-systematic risk factors.
A. True
B. False
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