2. According to the CAPM, which of the following statements are true? Please justify your answer. (3 points)

(1) A stock with a beta of zero has an expected return of zero.

(2) A stock that has a negative correlation with the market portfolio has an expected return that is less than the risk-free rate.

(3) A stock that has a lower standard deviation of return than that of the market has a lower expected return that that of the market.