A stock has a beta of 0.5. The market risk premium is 6% pa and the risk free rate is 2% pa, both given as effective annual rates.

Which of the below statements is NOT correct?

Select one:

a. The market portfolios total required return is 8% pa.

b. The stocks required total return is 5% pa and this is also its expected total future return if its fairly priced.

c. If the market portfolio suddenly fell by 1% in the last 5 minutes, then the stocks price would be expected to fall by 0.5% over that same short time.

d. If the market portfolios total return was 10% over the last year, the stocks total historical return is expected to be 5% over the same one year period.