19 . Which of the following is consistent with the CAPM and efficient capital markets ? A ) A security with a beta of I has a return last year of 8% when the market has a return of 129% B ) Small stocks with a beta of 1 5 tend to have higher returns on average than large stocks with a beta of 15 ( ) A security with only diversifiable risk has an expected return that exceeds the risk - free interest rate D ) A security with only systematic risk has an expected return that exceeds the risk- free interest rate