According to the Capital Asset Pricing Model (CAPM), which one of the following statements is false?

A) The expected rate of return on a security decreases in direct proportion to a decrease in the risk-free rate.

B) The expected rate of return on a security increases as its beta increases.

C) A fairly-priced security has an alpha of zero.

D) In equilibrium, all securities lie on the security market line.

E) All of the above statements are true.