8. Under the CAPM, which of the following is true about a stock with a negative beta? A. It moves with the entire market. B. Its volatility is equal to 0 . C. Its expected return is higher than the expected return of the market portfolio as it is very valuable for diversification purposes. D. Its expected return is lower than the risk-free rate. 9. Asset A has an expected return of 14% and a return standard deviation of 14%. Asset B has an expected return of 22% and a return standard deviation of 22%. The return on the risk-free asset is 5%. If a risk-averse investor can o pick one risky asset to hold in conjunction with the risk- A. asset A. B. asset B. information asset A and asset B D. Not enough information is provided. investing 120% in the market portfolio sortolio that bor A. is lower than 16% B. is higher than 16% C. is lower than the risk D. cannot be reliably determined from the information 11. Investors can invest in a risk-free ass stock A and stock B. Sara is more Which of choice? 4