A slope regression coefficient on a CAPM regression of 1.0 is obtained from the daily share return series of Zeus Construction (ZC) - a blue chip stock in a given economy and the corresponding share market return series during the year 2020. The corresponding R² from the regression is 0.60. The p-value for the beta coefficient is 0.005. Which of the following statements is INCORRECT, in the context of CAPM model?

Select one:

a. In the context of CAPM, ZC is less risky than the stock market considering its size (e.g. being a blue chip company in its economy).

b. If the risk free rate is 3.5% while the expected market risk premium is 4%, the cost of equity is 7.5% for ZC, according to CAPM.

c. 40% of the total risk (e.g. dispersion of daily observed returns of ZC share return around its average daily return during the year) of ZC share can be explained by the risk that is specific to the company.

d. More than half of ZC shares total risk is explained by non-diversifiable risk.