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Are the following statements true or false: I. Based on the Capital Asset Pricing Model, a stock with a beta of zero should earn the

Are the following statements true or false:
I. Based on the Capital Asset Pricing Model, a stock with a beta of zero should earn the risk-free return.
II. Based on the Capital Asset Pricing Model, a stock with a beta of one should earn a return equal to the risk-free return plus the expected return on the market.
A.) Statement I is true and statement II is false
B.) Statement I is false and statement II is true
C.) Both statements are true
D.) Both statements are false

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